sustainable travel. Three models are presented successively with some results from simulation. The first model relates to the …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from … available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of … ``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the …

under uncertainty and the industrial point of view based on the notion of risk management. This serves as a basis for the … definition of an approach based on simulation and decision theory that is dedicated to the design of cooperative processes in a … customer-supplier relationship. This approach includes the evaluation, in terms of risk, of different cooperative processes …

approach aims at evaluating in term of risks different demand management strategies within the supply chain using a simulation …

the uncertain information is perceived and treated differently by various decision-makers and allows to predict the risk …