8 papers
NatPar: Natural Parametric Modeling
Hirbod Assa
We develop natural parametric (NatPar) insurance as the natural next step from natural-catastrophe (NatCat) modelling: the same hazard-exposure-vulnerability-finance machinery, wit…
The Epistemic Risk of Risk: A Modal Framework for Quantitative Risk Management
Hirbod Assa
Risk governance is not only about identifying and measuring adverse states of the world. It also asks when an institution is entitled to rely on a risk claim. This paper introduces…
Factor risk measures
Hirbod Assa, Peng Liu
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relativ…
Calibrating distribution models from PELVE
Hirbod Assa, Liyuan Lin, Ruodu Wang
The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the two most popular risk measures in banking and insurance regulation. To bridge between the two regulatory risk measur…
Optimal risk allocation in a market with non-convex preferences
Hirbod Assa
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk…
On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
Hirbod Assa
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.…