MARC J. GOOVAERTS, ROB KAAS, ROGER J. A. LAEVEN*, QIHE TANG and RALUCA VERNIC University of Amsterdam, Department of Quantitative Economics, Roetersstraat 11, 1018 WB Amsterdam, The Netherlandsâ€¦ (More)

We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived, involves aâ€¦ (More)

We study selfand cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, toâ€¦ (More)

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measuresâ€¦ (More)

Diffusion processes play a major role in continuous-time modeling in economics, in particular in continuous-time finance. In most cases, however, the transition density function of a diffusionâ€¦ (More)

In this paper, we argue that there exists a distinction between risk measures and decision principles. Though both can be regarded as functionals assigning a real number to a random variable, weâ€¦ (More)

In the context of extreme climate change, we ask how to conduct expected utility analysis in the presence of catastrophic risks. Economists typically model decision making under risk and uncertaintyâ€¦ (More)

We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is oftenâ€¦ (More)

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guaranteesâ€¦ (More)

In the present contribution, we show how the optimal amount of economic capital can be derived such that it minimizes the economic cost of risk-bearing. The economic cost of risk-bearing takes intoâ€¦ (More)