In this paper we examine and summarize properties of several well-known risk measures
that can be used in the framework of setting solvency capital requirements for a risky …

This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

Conic optimization is a significant and thriving research area within the optimization
community. Conic optimization is the general class of problems concerned with optimizing a …

The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …

A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …

This paper shows how g-expectations and conditional g-expectations provide some families
of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic …

We discuss a number of quantile‐based risk measures (QBRMs) that have recently been
developed in the financial risk and actuarial/insurance literatures. The measures considered …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

We examine properties of risk measures that can be considered to be in line with some “best
practice” rules in insurance, based on solvency margins. We give ample motivation that all …

Dynamic Convex Risk Measures Page 1 Dynamic Convex Risk Measures Marco Frittelli and
Emanuela Rosazza Gianin New Risk Measures for the 21th Century, 2004 G. Szego ed., John …