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We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be...
Persistent link: https://www.econbiz.de/10010997044
We prove the existence of Pareto optimal allocations within sets of acceptable allocations when decision makers have probabilistic sophisticated variational preferences dened on random endowments in L1.
Persistent link: https://www.econbiz.de/10010550276
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,...
Persistent link: https://www.econbiz.de/10009479482
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire...
Persistent link: https://www.econbiz.de/10005534188
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...
Persistent link: https://www.econbiz.de/10005098992
Persistent link: https://www.econbiz.de/10005730052
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Persistent link: https://www.econbiz.de/10010020971
We derive analytically the first four conditional moments of the integrated variance implied by the GARCH diffusion process. From these moments we obtain an analytical closed-form approximation formula to price European options under the GARCH diffusion model.Using Monte Carlo simulations, we...
Persistent link: https://www.econbiz.de/10012732297