This paper presents a random risk measure, named as the random distortionrisk measure. The random distortion risk … measure is a generalization of thetraditional deterministic distortion risk measure by randomizing thedeterministic distortion … function and the risk distribution respectively,where a stochastic distortion is introduced to randomize the distortionfunction …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a …As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such … as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on …

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all … analyzing the related data or to construct a measure of systemic risk. There are many published survey papers on systemic risk … systemic risk indicators. This chapter is an attempt to contribute to filling this gap. …