Mathematical risk analysis

L Rüschendorf - Springer Ser. Oper. Res. Financ. Eng. Springer …, 2013 - Springer
This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

Pareto-optimal reinsurance arrangements under general model settings

J Cai, H Liu, R Wang - Insurance: Mathematics and Economics, 2017 - Elsevier
In this paper, we study Pareto optimality of reinsurance arrangements under general model
settings. We give the necessary and sufficient conditions for a reinsurance contract to be …

Optimal collective investment: an analysis of individual welfare

N Branger, A Chen, A Mahayni, T Nguyen - Mathematics and Financial …, 2023 - Springer
We analyze optimal asset allocation in continuous time for a collective of tied-together
investors. We rely on a specific collective utility function which dates back to Karatzas et …

Linear versus nonlinear allocation rules in risk sharing under financial fairness

JM Schumacher - ASTIN Bulletin: The Journal of the IAA, 2018 - cambridge.org
In a risk exchange, participants trade a privately owned risk for a share in a pool. If
participants agree on a valuation rule, it can be decided whether or not, according to the …

Cooperative investment in incomplete markets under financial fairness

J Pazdera, JM Schumacher, BJM Werker - Insurance: Mathematics and …, 2016 - Elsevier
Groups of agents, such as participants in a collective pension fund, can decide to undertake
a joint investment and to define, ex ante, a rule for the division of proceeds. The collective …

Risk measures induced by efficient insurance contracts

Q Wang, R Wang, R Zitikis - Insurance: Mathematics and Economics, 2022 - Elsevier
Abstract The Expected Shortfall (ES) is one of the most important regulatory risk measures in
finance, insurance, and statistics, which has recently been characterized via sets of axioms …

Multi-period risk sharing under financial fairness

H Bao, EHM Ponds, JM Schumacher - Insurance: Mathematics and …, 2017 - Elsevier
We work with a multi-period system where a finite number of agents need to share multiple
monetary risks. We look for the solutions that are both Pareto efficient utility-wise and …

Characterization of optimal risk allocations for convex risk functionals

S Kiesel, L Rüschendorf - Statistics & Decisions, 2009 - degruyter.com
In this paper we consider the problem of optimal risk allocation or risk exchange with respect
to convex risk functionals, which not necessarily are monotone or cash invariant. General …

The composite iteration algorithm for finding efficient and financially fair risk-sharing rules

J Pazdera, JM Schumacher, BJM Werker - Journal of Mathematical …, 2017 - Elsevier
We consider the problem of finding an efficient and fair ex-ante rule for division of an
uncertain monetary outcome among a finite number of von Neumann–Morgenstern agents …

Towards understanding the value of ethical hacking

J Wallingford, M Peshwa… - … Conference on Cyber …, 2019 - search.proquest.com
The economics of cybersecurity is an emerging field of research helping organizations make
informed investment decisions about protecting their information assets from a wide range of …