We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula families are studied. At every branching node, the...

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate...

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

This study arrives at a unifying risk measure for each of risk aversion and risk seeking preferences, a unifying risk measure (UrM) which explicitly embeds relative valuation of any two assets. The formal theory shows the UrM is, in relation to either of conditional volatility (CoV) or...