This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benets. The techniques are further … developed in this paper to address in a systematic way risk measures for death benets with the consideration of dynamic …

value of the payments made by the annuity provider. These approximations account not only for systematic longevity risk but …

given probability level, the Value at Risk and the Conditional Left Tail Expectation of the distribution function of final …

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected … sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was … shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was …

allocation rules to specific decision criteria and thus provides the risk manager with flexibility to meet specific target …