We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker's attitudes toward uncertainty. We obtain a characterization of comparative uncertainty...

Recent events in the financial and insurance markets, as well as the looming challenges of a globally changing climate point to the need to re-think the ways in which we measure and manage catastrophic and dependent risks. Management can only be as good as our measurement tools. To that end,...

Persons who are eligible for a defined benefit social security pension may defer their pension and receive, through accruals, an extra pension or possibly a lump sum, on termination of deferral. In certain cases, partners of the deferrer may inherit such benefits. For such a scheme, the concept...

We analyze the Solvency II standard formula (SF) for capital risk aggregation in relation to the treatment of operational risk (OR) capital. We show that the SF implicitly assumes that the correlation between OR and the other risks is very high, a situation which seems to be at odds with both,...

In our previous work, the choice between two popular hedging strategies was studied under the assumption that the hedge position of the underlying portfolio follows a discrete-time Markov chain with boundary conditions. This paper aims to investigate the same problem for the continuous case. We...

Arrow's classical result on the optimality of the deductible indemnity schedule holds in a situation where the insurer is a risk-neutral Expected-Utility (EU) maximizer, the insured is a risk-averse EU-maximizer, and the two parties share the same probabilistic beliefs about the realizations of...

Force of mortality is defined using an exponential function of Legendre polynomials, as in Renshaw et al. (1996), plus an extra term which captures mortality shocks. For the extra term Ballotta Haberman (2006) and Ahmadi et al. (2015) consider an Ornstein-Uhlenbeck while we suggest using Lévy...

In the seismological and geophysics literature, it is suggested by numerous authors that the elapsed time between two earthquakes at a given location should be represented by either an exponential or Weibull distribution. In addition, the seismic gap hypothesis states that large waiting times...

I examine a class of utility maximization problems with a not necessarily law-invariant utility, and with a not necessarily law-invariant risk measure constraint. The objective function is a Lebesgue integral of some function U with respect to some probability measure P, and the constraint set...