Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that...

This article examines certain types of saving institutions or insurance companies that are subject to surrender and default risks, in a stochastic interest rate context. In the setting under study, investors are endowed with an option to surrender. The goal of the article is to study how this...

In this paper, we indicate that risk vulnerability can be associated with the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing in wealth. Specifically, decreasing downside risk aversion in the Arrow-Pratt and Ross senses are respectively...

In this paper, we construct new valuation schemes for the liabilities and economic capital of insurance companies. Specifically, we first build a valuation framework based on SAHARA utility functions, and second we construct a framework based on the cumulative prospect theory that incorporates...