This paper deals with Esscher transforms in discrete finance models.

Extreme Value Theory (EVT) has develop ed very rapidly over the past two decades both methodologically and with respect to applications. Whereas (non–life) actuaries have, at least implicitly, used EVT techniques for a long time, mainly through the emergence of quantitative Risk Management, EVT...

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...