One of the most significant economic developments of the past decade has been the development of innovative risk-financing techniques in the insurance industry. Innovation has been driven by the increase in the frequency and severity of catastrophic losses, capital management needs in the life...

Large systematic risks, such as those arising from natural catastrophes, climatic changes and uncertain trends in longevity increases, have risen in prominence at a societal level and, more particularly, have become a highly relevant issue for the insurance industry. Against this background, the...

Large systematic risks, such as those arising from natural catastrophes, climatic changes and uncertain trends in longevity increases, have risen in prominence at a societal level and, more particularly, have become a highly relevant issue for the insurance industry. Against this background, the...

We investigate capital requirements based on Value at Risk (V@R) and Average Value at Risk (AV@R) when the bank's econometric model only approximately describes the true, unknown return generating process, as is often the case in practice. We provide a simple formula for such capital...

Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the...

There is an abundant and growing literature on the ramifications of artificial intelligence (AI) for society. This paper contributes some formal observations about the influence AI might have on how people who participate in small groups interact. Within such groups (say a team, business unit,...

Most governments acknowledge nowadays the strategic importance of the environmental goods and services industry (or eco-industry), in the new economy centered on knowledge, innovation and environmental protection. But the underlying dynamics of this booming sector is still poorly understood....

Unknown unknowns are future relevant contingencies that lack an ex ante description. While there are numerous retrospective accounts showing that significant gains or losses might have been achieved or avoided had such contingencies been previously uncovered, getting hold of unknown unknowns...

In response to environmental concerns, multidivisional firms running internal markets often seek to have the associated internal (or transfer) prices incorporate their social cost of pollution. We first investigate this phenomenon. Modeling two vertically related subsidiaries located in...