The financial system plays a fundamental role in the global economy as the middleman between agents who need to borrow and agents who are willing to lend or invest. As a consequence, it is naturally linked to all economic sectors and, therefore, if the financial system does not work properly, its problems have a strong impact on the real economy. We can see this in the deteriorating fundamental...

The choice of a risk measure reflects a subjective preference of the decision maker in many managerial, or real world economic problem formulations. To evaluate the impact of personal preferences it is thus of interest to have comparisons with other risk measures at hand. This paper develops a framework for comparing different risk measures. We establish a one-to-one relationship between norms ...

the railway transportation planning under the fuzzy environment is investigated in this paper. as a main result, a new modeling method, called minimum risk chance-constrained model, is presented based on the credibility measure. for the convenience ofs olving the mathematical model, the crisp equivalents ofc hance functions are analyzed under the condition that the involved fuzzy parameter...

Under the continuous assumption on the generator g, Briand et al. [Electron. Comm. Probab. 5 (2000) 101–117] showed some connections between g and the conditional g-expectation (Eg[·|Ft])t∈[0,T ] and Rosazza Gianin [Insurance: Math. Econ. 39 (2006) 19–34] showed some connections between g and the corresponding dynamic risk measure (ρgt )t∈[0,T ]. In this paper we prove that, without the additio...

Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. A detailed discussion of this can be found in two papers by Artzner, Delbaen, Eber and Heath, ADEH1 and ADEH2. It will not be repeated here. We will rather concentrate on the mathematics behind the concept of coherent risk measures. They were introduced in the two mentioned papers and the mathematical ...

A basic risk hypothesis, expressed as a risk equation, for system throughput capacity (I), and governing all non-growth, non-evolving, agent-directed systems, is proposed and derived. The equation relates throughput capacity, resources and risk relative to the system environment, for efficient environments. The risk equation may be combined with, and thus enhances, a resource-sharing equation r...

Despite all the recent work in the area of risk measurement, there is still a number of theoretical, as well as practical, questions left unanswered. The one we focus on in the present paper deals with the problem one faces when the maturity (horizon, expiration date, etc.) associated with a particular risky position is not fixed. We take the view that the mechanism used to measure the risk con...

We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying treatment of risk averse and min–max type formulations. For the single period newsvendor problem, we show that the structure of the optimal solution of the risk averse model is...

Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem with the insurer’s risk measured by distortion risk measure and the reinsurance premium calculated by a general principle including expected premium principle and Wang’s premium principle as its speci...