Solvency II is a new risk-based framework for setting the capital requirements of European insurance companies, in … contribution to the solvency capital requirement, to provide insight in the risk allocation and the trade-off between return and … marginal risk. In addition we derive the optimal strategic asset allocation for an insurer that maximizes the expected return …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the … arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and … the Functional Central Limit Theorem (FCLT) are proved. We also study the main properties of this new risk model, net …

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for … risk settings. A Loss Distributional Approach (LDA) for modelling of the annual loss process, involving homogeneous …? The second question pertains to Solvency II and addresses quantification of insurer capital for such operational risk …

The purpose of this research is the realistic forecast of volatility in frame of a risk parity class of strategies. The … custom rescaling of volatility – naïve risk parity - doesn't consider market inefficiencies which correspond to cyclical … as the instrument for realistic estimation of risk. The proposed model allows for modifying a rule for volatility …

The Firm-Value Risk Model combines the technology of actuarial optimal dividends models with insights regarding … financial frictions from financial economics, especially as they apply to risk transfer in (re)insurance firms. This paper … from the Firm-Value Risk Model, specifically: (1) the concave relationship between firm value and financial slack (2) the …

In this paper, we introduce a simple risk model with delayed claims, an extension of the classical Poisson model. The …

We give a simple explicit algorithm for building multi-factor risk models. It dramatically reduces the number of or … altogether eliminates the risk factors for which the factor covariance matrix needs to be computed. This is achieved via a nested …) industry classification based risk factors (e.g., "sector -> industry -> sub-industry"), and also in the presence of (non …

traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

We provide a novel explanation for the low volume of securitization in catastrophe risk transfer. Insurers' risk … reinsurers' market power, higher costs of capital, and monitoring costs. In equilibrium, the lowest risk insurers choose … reinsurance, while intermediate and high risk insurers choose partial and full securitization, respectively. An increase in the …