5 papers · 1 filter
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…
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…
Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem
Hirbod Assa
In this work we study the Lebesgue property for convex risk measures on the space of bounded càdlàg random processes (). Lebesgue property has been defined for…