investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … expected returns and very negative downside risk (henceforth "golden strategy") has only been studied if all the involved … multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of …

findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than … standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors …

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk …. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk …

understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted …, particularly in scenarios of heightened risk and increased concentration, crucial for mitigating negative net performances during …

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 of 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 …

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

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default … also discuss estimates for Value-at-Risk, and observe that our results may be extended to cases where the number of factors …

-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute … the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that …