Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...

Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure its robustness to distributional uncertainty by...

"The asset management industry is one of the essential sources of economic growth in a country since it functions as an intermediary between savings and investments. The asset management industry is also important for financial markets to ensure new funds and it helps investors to achieve their...

Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...

We establish stochastic models considering stochastic growth rate of salary, stochastic return rate of investment portfolio and stochastic mortality to evaluate pension surplus. We also establish the stochastic objective function of minimizing the contribution rate satisfying the constraint of...