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Systematic Risk Premia Strategies
This chapter is devoted to systematic quantitative funds, known as commodity trading advisors (CTAs) or simply as algos. These traders tend to look...
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Structured Products with Dynamic Asset Allocation and Systematic Strategies
The structured solutions presented so far are mostly option-based payoffs on traditional asset classes. In this chapter, we introduce the structured...
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Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
Motivated by macroeconomic risks, such as the COVID-19 pandemic, we consider different risk management setups and study efficient insurance schemes...
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Utility basis of consumption and investment decisions in a risk environment
Using expectations regarding utilities to make decisions in a risk environment hides a paradox, which is called the expected utility enigma....
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A systematic literature review on sustainability issues along the value chain in insurance companies and pension funds
Sustainability is now a priority issue that governments, businesses and society in general must address in the short term. In their role as major...
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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but...
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An Integrated Information Security Risk Assessment (IISRA) Approach
Organizations are placing more and more emphasis on information security. Organizations rely substantially on information technology as...
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Is accumulation risk in cyber methodically underestimated?
Many insurers have started to underwrite cyber in recent years. In parallel, they developed their first actuarial models to cope with this new type...
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Data-Driven Approach for Systemic Risk: A Macroprudential Perspective
This paper proposes a sovereign CDS analysis for systemic risk, assuming a macroprudential perspective and building on the modelling framework...
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The Impact of Oil Shocks on Systemic Risk of the Commodity Markets
This study examines the influence of oil shocks on systemic risk spillover among the commodity markets. Specifically, this paper uses the DCC-GARCH...
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Sparse and risk diversification portfolio selection
Portfolio risk management has become more important since some unpredictable factors, such as the 2008 financial crisis and the recent COVID-19...
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Real-Time, Systematic Disease Detection on Cruise Ships: Feasibility Assessment for Outbreak Prevention
The heavy toll of COVID-19 on the cruise industry has highlighted the long-standing issue of disease and epidemic management on ships. Optimal...
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Markov decision processes with risk-sensitive criteria: an overview
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term ’risk-sensitive’ refers here to...
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Inflated Expectations of Democracy: Towards a Systematic Explanation
Democracy has intrinsic value because it pursues the ideals of freedom, equality, and popular sovereignty which legitimate representative government,...
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Exploring data sources and mathematical approaches for estimating human mobility rates and implications for understanding COVID-19 dynamics: a systematic literature review
Human mobility, which refers to the movement of people from one location to another, is believed to be one of the key factors sha** the dynamics of...
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A new global algorithm for factor-risk-constrained mean-variance portfolio selection
We consider the factor-risk-constrained mean-variance portfolio-selection (MVPS) problem that allows managers to construct portfolios with desired...
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Model-Based Risk Assessment of mAb Developability
Monoclonal antibodies were already one of the fastest growing sectors of biopharmaceutical industry [1]. Recent research on the significant benefits...
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A systematic review of uncertainty theory with the use of scientometrical method
Uncertainty theory is an area in axiomatic mathematics recently proposed by Professor Baoding Liu and aiming to deal with belief degrees. Retrieving...
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First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
We investigate statistical properties of the optimal value of the Sample Average Approximation of stochastic programs, continuing the study...
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Peculiarities of Applying the Risk Theory and Numerical Modeling to Determine the Resource of Buildings in a Zone of Influence of Military Actions
The features of the application of the risk theory and numerical modeling to determine the resource of buildings in the combat zone is considered. A...