This paper studies the optimal reinsurance problem when risk is measured by a general risk
measure. Necessary and sufficient optimality conditions are given for a wide family of risk …

The current literature does not reach a consensus on which risk measures should be used
in practice. Our objective is to give at least a partial solution to this problem. We study …

This paper deals with the optimal reinsurance problem if both insurer and reinsurer are
facing risk and uncertainty, though the classical uncertainty free case is also included. The …

This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that
guarantees a minimum return when the asset prices are convex functions of interest rates or …

The paper deals with optimal portfolio choice problems when risk levels are given by coherent
risk measures, expectation bounded risk measures or general deviations. Both static and …

The optimal reinsurance problem is a classic topic in actuarial mathematics. Recent approaches
consider a coherent or expectation bounded risk measure and minimize the global risk …

The quadratic and linear cash flow dispersion measures M 2 and N ̃ are two immunization
risk measures designed to build immunized bond portfolios. This paper generalizes these two …

Downside risk measures play a very interesting role in risk management problems. In
particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very …

The minimization of general risk functions is becoming more and more important in portfolio
choice theory and optimal hedging. There are two major reasons. Firstly, heavy tails and the …

The paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of
the hedging strategy is measured by a general risk function. Convex Optimization Theory is …