Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially explored risks or risk takers in a wide variety of...

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide...

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives...

This paper uses copula functions in order to evaluate tail probabilities and market risk trade-offs at a given confidence level, dropping the joint normality assumption on returns. Copulas enable to represent distribution functions separating the marginal distributions from the association...

This paper describes the rapid and dynamic pace of Artificial Intelligence (AI) and Machine Learning (ML) developments that have revolutionized the insurance sector, and discusses their interpretability. AI content-based processing of information includes image and video analysis, facial...

The risk appetite of insurance companies fluctuates over time in a quasi cyclical fashion. When their capitalization is high (low), companies choose portfolios with a high (small) share of risky assets. We show that this phenomenon may have the same source as the underwriting cycle, namely...

On the premise that pension provision in Europe will dramatically change over the next few decades, this book concentrates on the funded component of pension wealth, and specifically on annuities - financial products that, on the basis of actuarial equivalence, allow the conversion of wealth...