Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universität München] introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation...

We investigate multiperiod portfolio selection problems in a Black and Scholes type market where a basket of 1 riskfree and "m" risky securities are traded continuously. We look for the optimal allocation of wealth within the class of "constant mix" portfolios. First, we consider the portfolio...

In the present paper we consider several measures Ior the risk that is present in all insurance environment. We look for desirable properties for two types of risk measures, the ones reflecting both negative and positive results, and the measures for insolvency risks dealing with aspects of...

This paper illustrates an analytic method that can be used to determine the total capital requirements necessary to properly provide for the future obligations of a portfolio of annuity liabilities and to protect the enterprise from the related risks it faces. This example is based on the work...

In an actuarial or financial context one often encounters the calculation of risk measures of random variables of the type S r:1 Xi' In many applications, the individual risks Xi are not mutually independent, for example because their outcomes are all influenced by the same economic or physical...

We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the discounted cost of a given cash-fl ow under the constraint of a restricted Capital at Risk. In a Black-Scholes setting, upper and lower bounds are obtained by means of simple analytical expressions...