Search Results - person:"Ravanelli, Claudia"

Economic Valuation and Financial Management of an Insurance Firm

Koch-Medina, Pablo - 2019

We use a dynamic framework to address the questions: i) when should an insurance firm pay out dividends and raise (costly) capital and ii) when should an insurance firm take (liquid) investment risk. Financial decisions are made by a manager who strives to maximize firm value and operates in the...

Persistent link: https://www.econbiz.de/10012898831

Ambiguity sensitive preferences in Ellsberg frameworks

Ravanelli, Claudia; Svindland, Gregor - 2019

Persistent link: https://www.econbiz.de/10012040448

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Ambiguity Sensitive Preferences in Ellsberg Frameworks

Ravanelli, Claudia - 2018

Book / Working Paper

Revisiting optimal investment strategies of value-maximizing insurance firms

Koch Medina, Pablo; Moreno-Bromberg, Santiago; … - 2021

Persistent link: https://www.econbiz.de/10012649214

Ambiguity Aversion in Ellsberg Frameworks

Ravanelli, Claudia - 2015

We study optimal portfolio choice and equilibrium asset prices induced by alpha-maxmin expected utility (alpha-MEU) models. In the standard Ellsberg framework we prove that alpha-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how ambiguity...

Persistent link: https://www.econbiz.de/10013035352

Robust Capital Requirements with Model Risk

Ravanelli, Claudia - 2014

We investigate capital requirements based on Value at Risk (V@R) and Average Value at Risk (AV@R) when the bank's econometric model only approximately describes the true, unknown return generating process, as is often the case in practice. We provide a simple formula for such capital...

Persistent link: https://www.econbiz.de/10013063454

Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges

Barrieu, Pauline; Bensusan, Harry; Karoui, Nicole El; … - 2012

Persistent link: https://www.econbiz.de/10008791882

Understanding, modelling and managing longevity risk: key issues and main challenges

Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; … - 2012

Persistent link: https://www.econbiz.de/10015919211

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Understanding, modelling and managing longevity risk: key issues and main challenges

Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; … - 2012

Article

Understanding, modelling and managing longevity risk: key issues and main challenges

Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; … - 2011

Article

Pareto optimal allocations for probabilistic sophisticated variational preferences

Ravanelli, Claudia; Svindland, Gregor - 2011

We prove the existence of Pareto optimal allocations within sets of acceptable allocations when decision makers have probabilistic sophisticated variational preferences defined on random endowments in L1. Pareto optimal allocations, variational preferences, probabilistic sophistication,...

Persistent link: https://www.econbiz.de/10009295752

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