governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life … explicitly taking into account ``model risk''. In this context, we show how to determine the contract parameters conservatively … and implement robust risk management strategies. This highlights the necessity of a careful choice of guarantees which are …

order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither … accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …

possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our … main aim is to minimize this shortfall risk by making use of results from bsde theory. …

to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …

is a new risk factor for enterprises taking part in this system. In this paper, we analyze how risk emerging from … loss account accounting for uncertainties and dependencies. Consequently, this model provides a basis for risk assessment …