The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a … venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk …

providing one possible formalization of the concept of a multi-dimensional risk network, which seems to us an appropriate …

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance … appropriate numerical optimisation methods chosen to solve various risk transfer problems. The stability issues are also …

Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that … solved. Numerical experiments are run for various risk preference choices and it is found that for relatively large sample … the modeler puts on the tail risk when defining its objective function. These findings suggest that one should be very …

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the …