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Solvency II, or how to sweep the downside risk under the carpet

Weber, Stefan - In: Insurance / Mathematics & economics 82 (2018), pp. 191-200

Persistent link: https://www.econbiz.de/10011929871

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

Persistent link: https://www.econbiz.de/10011900226

Efficient option risk measurement with reduced model risk

Mitra, Sovan - In: Insurance / Mathematics & economics 72 (2017), pp. 163-174

Persistent link: https://www.econbiz.de/10011694422

Managing model risk : editorial

Mark, Robert - In: Journal of risk management in financial institutions 9 (2016) 3, pp. 204-206

Persistent link: https://www.econbiz.de/10011661825

The use of the triangular approximation for some complicated risk measurement calculations

Georgiopoulos, Nick - In: The journal of risk model validation 11 (2017) 3, pp. 69-98

Persistent link: https://www.econbiz.de/10011762994

Does operating risk affect portfolio risk? : evidence from insurers' securities holding

Chen, Xuanjuan; Sun, Zhenzhen; Yao, Tong; Yu, Tong - In: The journal of corporate finance : contracting, … 62 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012239232

Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Zhang, Sainan; Xu, Huifu - In: Computational management science 19 (2022) 4, pp. 703-738

Persistent link: https://www.econbiz.de/10013447511

Effect of risk on the financial performance of Nepalese insurance companies

Nath, Ramesh; Pradham, Radhe Shyam - In: Nepalese journal of finance : a publication of Uniglobe … 10 (2023) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10014495043

Risk exposure in ESG-driven portfolios : a wavelet study within the tail-concerned insurance sector

Jareño, Francisco; Esparcia, Carlos; Fantini, Giulia - In: Finance research letters 67 (2024) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10015062482

Immunization strategies for funding multiple inflation-linked retirement income benefits

Simões, Cláudia; Oliveira, Luís; Bravo, Jorge Miguel … - In: Risks : open access journal 9 (2021) 4, pp. 1-28

. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk … measure. We investigate to what extent the inflation-hedging properties of ILBs in asset liability management strategies …

Persistent link: https://www.econbiz.de/10012508594