In this paper it is proved that a concave distortion function is a necessary and sufficient condition for coherence, and a strictly concave distortion function is a necessary and sufficient condition for strict consistency with second order stochastic dominance. The results are related to current risk measures used in practice, such as value-at-risk (VaR) and the conditional tail expectation (C...

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...

Consider a portfolio of n obligors subject to possible default. We propose a new structural model for the loss given default, which takes into account the severity of default. Then we study the tail behavior of the loss given default under the assumption that the losses of the n obligors jointly follow a multivariate regular variation structure. This structure provides an ideal framework for mo...

We present a TM system that executes transactions without ever causing any aborts. The system uses a set of t-var lists, one for each transactional variable. A scheduler undertakes the task of placing the instructions of each transaction in the appropriate t-var lists based on which t-variable each of them accesses. A set of worker threads are responsible to execute these instructions. Because ...

In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail-Value at Risk and analyze the diversification benefit, both on the required capital and on the residual risk, when merging risks. To describe the dependence structure, we use a range of v...

We explore generalizations of the pari-mutuel model (PMM), a formalization of an intuitive way of assessing an upper probability from a precise one. We discuss a naive extension of the PMM considered in insurance, compare the PMM with a related model, the Total Variation Model, and generalize the natural extension of the PMM introduced by P. Walley and other pertained formulae. The results are ...

In the Lee-Carter framework, future survival probabilities are random variables with an intricate distribution function. In large homogeneous portfolios of life annuities, Value-at-Risk or Conditional Tail Expectation of the total yearly payout of the company are approximately equal to the corresponding quantities involving random survival probabilities. This paper aims to derive some bounds in...

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance policies. This approach co...

The implementation of appropriate statistical techniques for monitoring conditional VaR models, i.e, backtesting, reported by institutions is fundamental to determine their exposure to market risk. Backtesting techniques are important since the severity of the departures of the VaR model from market results determine the penalties imposed for inadequate VaR models. In this paper we make six con...