The paper addresses the calculation of the value at risk (VaR) of the mathematical provision applied in a fair … end of the risk horizon. After an overall view on the VaR problems from a managerial perspective, the paper presents, the … choice of the VaR model and the number of risk factors to take into account, in addition to describing the calculation …

In this paper, we consider the perturbed compound Poisson risk process with investment incomes. The risk reserve …

This paper is dedicated to study the discrete time compound binomial dual risk model, where the income is time …. Under this time-correlated scenario, the relationship between the dual model and the classical risk model is studied and …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further …

1. Introductory concepts of financial risk management and related mathematical tools -- 2. Financial risk management in … time models -- 5. Fixed income securities : modeling and pricing -- 6. Implementations of risk analysis in various areas of …