Over the past two decades, there has been explosive growth in the application of robust
optimization in operations management (robust OM), fueled by both significant advances in …

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

In the statistical and actuarial literature several generalizations of quantiles have been
considered, by means of the minimization of a suitable asymmetric loss function. All these …

This book is the first in the market to treat single-and multi-period risk measures (risk
functionals) in a thorough, comprehensive manner. It combines the treatment of properties of …

We address the problem of risk sharing among agents using a two-parameter class of
quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their …

We use tail expectiles to estimate alternative measures to the value at risk and marginal
expected shortfall, which are two instruments of risk protection of utmost importance in …

Risk aggregation with dependence uncertainty refers to the sum of individual risks with
known marginal distributions and unspecified dependence structure. We introduce the …

Because of regulation projects from control organisations such as the European solvency II
reform and recent economic events, insurance companies need to consolidate their capital …

Abstract Model risk has a huge impact on any risk measurement procedure and its
quantification is therefore a crucial step. In this paper, we introduce three quantitative …

Portfolio optimization aims to minimize risk and maximize return on investment by
determining the best combination of securities and proportions. The variance in portfolio …