scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution …. Another example where risk is exchanged for a fixed price is swap contracts. Electricity futures can be seen as swaps where …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called probability … of drawdown, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its …

We study the investment behaviour of a producer maximizing the present value of his firm over an infinite time horizon … capital, are assumed known and held fixed. We find the optimal investment behaviour in the form of a feed-back function …