New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency II and will come in force from 1 January 2016. These requirements, derived by a Standard Formula or an Internal Model, will be by far more risk-sensitive than the required...

La maggior parte dei lavori sulla taratura statistica univariata e multivariata propongono contributi in ambito parametrico inquadrato in un contesto statistico classico o bayesiano. Oltre alla presenza dei problemi tipici dell'approccio parametrico (scelta della legge distribuzionale, del...

In asset allocation processes the estimation of standard deviations is often measured with error. As a result, the risk adjusted return ratios will be subject to estimation error. Since risk estimation is crucial in investment decisions, several risk measures have been suggested to take into...

Due to the complexity and heterogeneity of hedge fund strategies, assessing their performance is a challenging task. Reminiscent of the mutual fund industry, the literature has evolved in the direction of refining traditional measures (e.g. the Sharpe ratio) or introducing new ones. This paper...