Stochastic generalized gradient method with application to insurance risk management

Hessian Stochastic Ordering in the Family of multivariate Generalized Hyperbolic Distributions and its Applications

In this paper, random vectors following the multivariate generalized hyperbolic (GH) distribution are compared using the hessian stochastic order. This family includes the classes of symmetric and asymmetric distributions by which different behaviors of kurtosis in skewed and heavy tail data can be captured. By considering some closed convex cones and their duals, we derive some necessary and s...

Value at Risk Estimation using the Kappa Distribution with Application to Insurance Data

The heavy tailed distributions have mostly been used for modeling the financial data. The kappa distribution has higher peak and heavier tail than the normal distribution. In this paper, we consider the estimation of the three unknown parameters of a Kappa distribution for evaluating the value at risk measure. The value at risk (VaR) as a quantile of a distribution is one of the import...

Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management

We present recent developments in the field of stochastic programming with regard to application in power management. In particular we discuss issues of scenario tree modeling, i.e., appropriate discrete approximations of the underlying stochastic parameters. Moreover, we suggest risk avoidance strategies via the incooperation of so-called polyhedral risk functionals into stochastic programs. T...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Process of Risk Analysis for Iranian Insurance Companies

The main challenge for any insurer/reinsurer has proved to be underwriting major refinery/Petrochemical risk. Insurers have already considered process risk management measures while accepting and evaluating the risks all over the world. Erstwhile petrochemical tariff was adopting experiencing methodology as basis for premium calculation in Iran. In the present de-tariff scenario decisions will ...