A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error. We study a distributionally robust reinsurance problem by...

The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal external capital which has to be raised into multiple...

We propose new Unconditional, Independence and Conditional Coverage VaR-forecast backtests for the case of annuity pricing under a Bayesian framework that significantly minimise the direct and indirect effects of $p$-hacking or other biased outcomes in decision-making, in general. As a...

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA...

This paper uses a consumption-based dynamic quantile preference model to estimate the elasticity of intertemporal substitution (EIS) across different levels of risk attitude. In the quantile model, the risk attitude is captured by the quantile and is, therefore, separable from the EIS. This is...

In the Chinese stock market, we find that the cross-sectional relation between value-at-risk (VaR) and expected returns is unclear, which is different from the recent findings in the United States. Additionally, VaR is negatively related with expected returns and cannot be explained by...

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Food safety is a major risk for agribusiness firms. According to the Centers for Disease Control and Prevention (CDC), approximately 5000 people die annually, and 36,000 people are hospitalized as a result of foodborne outbreaks in the United States. Globally, the death estimate is about 42,000...