A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...

The first four conditional moments of the integrated variance implied by the GARCH diffusion process are derived analytically. Based on these moments and on a power series method an analytical approximation formula to price European options under the GARCH diffusion model is obtained. Monte...

This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood;...

We prove the existence of Pareto optimal allocations within sets of acceptableallocations when decision makers have probabilistic sophisticated variational pref-erences dened on random endowments in L1.[...]

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...

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...

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,...