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 …

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 …

model of default (Yildirim 2006), the Omega risk model of bankruptcy in risk analysis (Gerber, Shiu and Yang 2012), and a … diffusion risk model with surplus-dependent tax (Albrecher and Hipp 2007, Li, Tang and Zhou 2013) …

We examine:Portfolio structuring; risk factor category identification and mapping.Risk aggregation of single risk … losses within each risk factor category.Methodology identification and brief technical review.SCR computation by risk factor …

By bridging studies in cross hedging and background risk, this paper makes two contributions. Firstly, given a general … basis risk specification accommodating full, under and over hedge, it is shown that the optimality condition for the full … hedge only includes signing appropriate derivatives of the basis risk specification function and existing additive and …