• Publications
  • Influence
On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
  • H. Assa
  • Economics, Mathematics
  • 11 June 2014
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show howExpand
  • 56
  • 15
  • PDF
Marginal Indemnification Function Formulation for Optimal Reinsurance
In this paper, we propose to combine the Marginal Indemnification Function (MIF) formulation and the Lagrangian dual method to solve optimal reinsurance model with distortion risk measure andExpand
  • 61
  • 6
Financial engineering in pricing agricultural derivatives based on demand and volatility
Purpose - – The purpose of this paper is twofold. First, the author proposes a financial engineering framework to model commodity prices based on market demand processes and demand functions. ThisExpand
  • 9
  • 2
  • PDF
On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of cadlag processes. This new coherent risk measure turns out to be tractable enough within a class ofExpand
  • 6
  • 2
  • PDF
Risk Management Under a Prudential Policy
In this paper, we study the structure of optimal contracts in banking system when there is no risk of moral hazard. We consider a risk management problem under a policy that reduces the excessiveExpand
  • 5
  • 2
  • PDF
Good Deals and compatible modification of risk and pricing rule: a regulatory treatment
This work studies Good Deals in a scenario in which a firm uses decision-making tools based on a coherent risk measure, and in which the market prices are determined with a sub-linear pricing rule.Expand
  • 12
  • 1
Risk measures on the space of infinite sequences
Axiomatically based risk measures have been the object of numerous studies and generalizations in recent years. In the literature we find two main schools: coherent risk measures (Artzner, CoherentExpand
  • 10
  • 1
  • PDF
Trade-off Between Robust Risk Measurement and Market Principles
  • H. Assa
  • Mathematics, Computer Science
  • J. Optim. Theory Appl.
  • 1 July 2015
TLDR
We propose a solution by introducing the minimal distribution-invariant modification of the risk measure, which does not produce any Good Deal and also is more robust comparing to the family of coherent risk measures. Expand
  • 2
  • 1
Lebesgue property of convex risk measures for bounded Càdlàg processes
In this paper, we study the Lebesgue property for convex risk measures on the class of bounded c`adl`ag processes. For that, we characterize the compact subsets of a family of bounded variationExpand
  • 8
  • 1
  • PDF
Reinsurance Optimal Design with Distortion Risk Measures and Risk Premiums
In this paper we consider the problem of optimal reinsurance design for general distortion risk measures and premiums. In the first part of the paper, we find the Lagrangian dual of the primalExpand
  • 3
  • 1