We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends are paid periodically in real life, we study periodic dividend...

We develop a real-options model for optimizing production and sourcing choices under evolutionary supply-chain risk. We model lead time as an endogenous decision and calculate the cost differential required to compensate for the risk exposure coming from lead time. The shape of the resulting...

This is a practical paper, concerned with certain existing industry practices used to factor large correlation matrices into estimates of variance of total portfolio liabilities, and hence into risk, and possibly capital margins, and the extent to which those practices are theoretically sound....