The article analytically summarizes the idea of applying Shannon's principle of entropy
maximization to sets that represent the results of observations of the “input” and “output” …

The Omega ratio, a performance measure that separately considers upside and downside
deviations from a fixed threshold, improves the Sharpe ratio by incorporating the higher …

This paper will deal with the optimal reinsurance problem and will involve the goals of both
insurer and reinsurer. In particular, the study will incorporate the initial (before reinsurance) …

We study conditions under which the threshold parameter in the Omega ratio represents risk
aversion in the sense of monotonicity of risk premia. To this end, we derive asymptotic …

The Omega performance measure introduced by Keating and Shadwick (An introduction to
Omega. AIMA Newsletter, 2002a; J Perform Meas 6 (3): 59-84, 2002b) is widely used in …

This paper investigates the optimal management of defined contribution pension plan under
the Omega ratio and Value-at-Risk (VaR) constraint. Interest and inflation risks are …

We consider the optimal risk transfer from an insurance company to a reinsurer. The
problem formulation considered in this paper is closely connected to the optimal portfolio …

The Omega ratio grants flexibility to a decision‐maker regarding the selection of a return
threshold (τ). Although the return threshold can affect the effectiveness of the Omega …

The choice of reinsurance is important for insurance decisions and risk management in
general (eg Albrecher, Beirlant, and Teugels 2017) This is often a choice made under a …

The research aims to clarify portfolio manager (PfM) job functions and design essential and
marginal job functions a PfM should perform. Often understood as a tool for embodying the …