collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been … objective of this paper is to understand the impact of model uncertainty on the value-at-risk (VaR) estimators. To accomplish … that, we take the bank's perspective and study a single risk. Under this simplified scenario we can solve the problem …

It is natural to connect reinsurance problems with risk measures since a reinsurance contract is an efficient risk … management tool for an insurer and the reinsurance premium can also be viewed as a measure of a reinsurer's risk. In this paper …, we assume that the insurer uses a law-invariant convex risk measure, while reinsurers use a Wang's premium principle to …

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the … to derive a distribution of indicators for summarizing the impact of model risk on synthetic measures like bank …

obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for … level of risk. Our starting point is to use a hierarchical risk aggregation method which was initially based on two … reinsurance in reducing the insurance company's business risk and its effect on diversification. The results show that reinsurance …