assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to …

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 …

parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … discrete ill-posed problem with box constraints. We show how this framework allows for a priori investor expectations and risk …