4 citations · 5 across the 4 of their papers we have counts for
5 papers
Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals
Mario Ghossoub, David Saunders, Kelvin Shuangjian Zhang
We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk fac…
Price of liquidity in the reinsurance of fund returns
David Saunders, Luis Seco, Markus Senn
This paper aims to extend downside protection to a hedge fund investment portfolio based on shared loss fee structures that have become increasing popular in the market. In particu…
Valuation of a Bermudan DB underpin hybrid pension benefit
Xiaobai Zhu, Mary Hardy, David Saunders
In this paper we consider three types of embedded options in pension benefit design. The first is the Florida second election (FSE) option, offered to public employees in the state…
Wrong-Way Bounds in Counterparty Credit Risk Management
Amir Memartoluie, David Saunders, Tony Wirjanto
We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when…
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
Marius Hofert, Amir Memartoluie, David Saunders +1
Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their im…