In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims … probabilities. In addition, we extend the risk model by considering an external Markovian environment in which the claims …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average … substantial mortality risk. We calculate that a markup of 3.7% on an annuity premium (or else shareholders%u2019 capital equal to … underpriced. Insurance companies could deal with aggregate mortality risk by transferring it to financial markets through …

This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two …