scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution …. Another example where risk is exchanged for a fixed price is swap contracts. Electricity futures can be seen as swaps where …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …

follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to …

such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …

finite horizon. Classical risk-neutral approaches do not accommodate the risk aversion often encountered in practice. We add … to the scarce literature on risk aversion by considering the risk measure Conditional Value-at-Risk (CVaR), which … policy and obtain structural results. The most important managerial implication is that the risk-averse optimal price is …