Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...

Operations which form new risk measures from a collection of given (often simpler) risk measures have been used extensively in the literature. Examples include convex combination, convolution, and the worst-case operator. Here we study the risk measure that is constructed from a family of given risk measures by the best-case operator; that is, the newly constructed risk measure is defined as th...

This paper analyses the risk of extreme coastal events in major European coastal cities using a stochastic diffusionmodel that is calibrated with the worst case emission scenario from the Intergovernmental Panel for Climate Change (IPCC), i.e., the representative concentration pathway (RCP) 8.5. The model incorporates uncertainty in the sea-level rise (SLR) distribution. Expected mean annual lo...

Two main axiomatically based risk measures are the coherent risk measure, which assumes subadditivity for random variables, and the insurance risk measure, which assumes additivity for comonotonic random variables. We propose a new, data based, risk measure, called natural risk statistic, that is characterized by a new set of axioms. The new axioms only require subadditivity for comonotonic ran...

Projects may be evaluated and compared according to the Net Present Value (NPV) of their cash flow. The NPV is the discounted expected revenues minus the costs over the lifetime of the project. Traditional NPV calculations do not take into account the uncertainty in the variables that influence the revenues and costs. We present a simulation approach to incorporate uncertainty in the NPV calcul...

The paper introduces the worst-case portfolio optimization models within robust framework for maximizing return through either mean or median metrics. risk in is quantified by Gini difference. We put forward under mixed and interval+polyhedral uncertainty sets. proposed turn out to be linear integer programs set, semidefinite program set. performance comparison of on listed stocks Euro Stoxx 50...