An Optimal Tail Selection in Risk Measurement

On the Measurement of Economic Tail Risk

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only tail risk measure that satisfies a set of economic axioms for the Choquet expected utility and the statistical property of elicitability (i.e. there exist...

Optimal Reinsurance Arrangements Under Tail Risk Measures

Regulatory authorities demand insurance companies to control the risks by imposing stringent risk management policies. This article investigates the insurance company’s optimal risk management strategy subject to regulator’s risk measure constraints. We first design the optimal reinsurance contracts under different tail risk measures. Then we analyze the impact of the regulators’ requirements o...

Supplement of Optimal heavy tail estimation – Part 1 : Order selection

An optimal model for Project Risk Response Portfolio Selection (P2RPS) (Case study: Research institute of petroleum industry)

In the real world, risk and uncertainty are two natural properties in the implementation of Mega projects. Most projects fail to achieve the pre-determined objectives due to uncertainty. A linear integer programming optimization model was used in this work to solve a problem in order to choose the most appropriate risk responses for the project risks. A mathematical model, in which work structu...

‘ ‘ An Optimal Selection Algorithm ’ ’

We give an optimal parallel algorithm for selection on the EREW PRAM. It requires a linear number of operations and O( log n log∗ n) time.