ANTICIPATED BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND APPLICATIONS TO DYNAMIC RISK MEASURES

In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.

Construction Technology and Safety Risk Control Measures of Deep Foundation Pit Excavation

Deep foundation pit excavation is a basic and key step involved in modern building construction.In order to ensure the construction quality and safety of deep foundation pits,this paper takes a project as an example to analyze deep foundation pit excavation technology,including the nature of this construction project,the main technical measures in the construction of deep foundation pit,and the analysis of the safety risk prevention and control measures.The purpose of this analysis is to provide scientific reference for the construction quality and safety of deep foundation pits.

CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS

In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation results are given by two different methods which are convex analysis and enlarging space. Especially, the method of convex analysis make the line of reasoning and the representation result be simpler. Meanwhile, spot and forward risk measures for portfolio vectors are also introduced, and the relationships between them are investigated.

Risk measures with comonotonic subadditivity or convexity on product spaces

In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. Representation results for these new introduced risk measures for portfolios are given in terms of Choquet integrals. Links of these newly introduced risk measures to multi-period comonotonic risk measures are represented. Finally, applications of the newly introduced comonotonic coherent risk measures to capital allocations are provided.

Value-at-risk under ambiguity aversion

This study explored the effects of ambiguity on the calculation of Value-at-Risk(VaR)using a mathematical model based on the theory of Choquet-Brownian processes.It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall(ES),the result can be reversed in a deeply ambiguous environment.Additionally,some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation.This study offers a new perspective to full awareness on capital requirement calculation as requested by international regulation.

On the generalized risk measures

In this paper, new risk measures are introduced, tation results are also given. These newly introduced risk introduced by Song and Yan （2009） and Karoui （2009）. and the corresponding represen- measures are extensions of those

Risk Measure and Premium Distribution on Catastrophe Reinsurance

In this paper, we propose a new risk measure which is based on the Or- licz premium principle to characterize catastrophe risk premium. The intention is to develop a formulation strategy for Catastrophe Fund. The logarithm equivalent form of reinsurance premium is regarded as the retention of reinsurer, and the differential earnings between the reinsurance premium and the reinsurer＇s retention is accumu- lated as a part of Catastrophe Fund. We demonstrate that the aforementioned risk measure has some good properties, which are further confirmed by numerical simu- lations in R environment.

Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17:a new paid‑incurred chain approach to risk adjustments

This study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17.It applies the paid-incurred chain method to model the future unpaid losses by combining the information channels of both the incurred claims and paid losses.We propose the recovery of the empirical distribution of the outstanding claims liabilities associated with a group of contracts via moment-based density approximation.We determine the risk measures and adjustments that are compliant with the new standard using the Monte–Carlo simulation method and approximated distributions.The historical data on the aggregate Ontario automobile insurance claims over a 15-year period are analyzed to examine the appropriateness and accuracy of our approach.

Best Bounds on Measures of Risk and Probability of Ruin for Alpha Unimodal Random Variables When There Is Limited Moment Information

This paper presents explicit formulae giving tight upper and lower bounds on the expectations of alpha-unimodal random variables having a known range and given set of moments. Such bounds can be useful in ordering of random variables in terms of risk and in PERT analysis where there is only incomplete stochastic information concerning the variables under investigation. Explicit closed form solutions are also given involving alpha-unimodal random variables having a known mean for two particularly important measures of risk—the squared distance or variance, and the absolute deviation. In addition, optimal tight bounds are given for the probability of ruin in the collective risk model when the severity distribution has an alpha-unimodal distribution with known moments.

Calendar Effects in AAPL Value-at-Risk

This study investigates calendar anomalies： day-of-the-week effect and seasonal effect in the Value-at-Risk （VaR） analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical properties are examined and a comprehensive set of diagnostic checks are made on the two decades of AAPL daily stock returns. Combing the Extreme Value Approach together with a statistical analysis, it is learnt that the lowest VaR occurs on Fridays and Mondays typically. Moreover, high Q4 and Q3 VaR are observed during the test period. These results are valuable for anyone who needs evaluation and forecasts of the risk situation in AAPL. Moreover, this methodology, which is applicable to any other stocks or portfolios, is more realistic and comprehensive than the standard normal distribution based VaR model that is commonly used.

Enterprises＇ foreign exchange risk management in the floating exchange risk era

Since the foreign exchange reform on July 21^st 2005, the flexibility of RMB exchange rate has becoming big, so has the foreign exchange risk. How to effectively manage foreign exchange risk has become an emergent task to enterprises. This paper introduces the method of foreign exchange forecast which is the base of foreign exchange risk management, and then deeply discusses different measures of managing the risk.

Research on the Reasonable Strategy of the Development of Commercial Banks under the Perspective of P2P Internet Financial Risks

In this paper, we conduct research on the reasonable strategy of the development of commercial banks under the perspective of P2P Internet financial risks. P2P financial model mainly for China＇ s small and medium enterprises and individuals to provides financing services. Generally need to use e-commerce professional network platform lending to help both sides to establish lending relationship and complete the related formalities. Traditional commercial banks need reform to keep up with the novel financial tools related to the Internet financing which will be discussed below.

Risk Analysis for Mega Shopping Mall Projects in Egypt

Mega shopping mall projects have seen dramatic growth and great development in recent years in Egypt. Many new mega shopping mall projects are under construction and expecting to start working in the few coming years. In the absence of researches studying the Egyptian mega shopping mall projects, this study tries to highlight the most critical risks that face these projects and the associated most effective response methods to be employed. The scope covers the analysis from different perspectives by including owners/developers, designers, consultants, project managers, and contractors that have previous experience in large-scale projects such as shopping mall projects. In this study, 30 construction project risks are classified into six main categories according to their type and 150 risk mitigation/elimination measures are introduced to overcome the impact of risks under each of these risk categories. The results reveal that the main risk category that faces the mega shopping mall projects in Egypt is the one including the financial risk factors. The most critical risk factor that faces these projects is the financial ability of the client. These results are similar to findings by previous researches conducted for large projects in other countries.

Controlling the Risk of Construction Delay in the Middle East： State-of-the-Art Review

The financial crisis in late 2008 arrested economic development in the construction sector in the Middle East, with the result that investors＇ confidence in the sector is severely depressed. Delays constitute one of the highest impediments to project success. In this respect, the traditional management is no longer sufficient for construction project success. The objective of this study is to conduct a literature review to identify additional effective measures for controlling the potential delays risks in construction projects in order to maximize the opportunities for success in those projects. Thirty-six scholarly articles published between 2000 and 2011 are reviewed to identify related MDRC （measures for delays risks control）. This survey reveals that 60% of the studies are related to decision-making, performance, risk management variations and poor management knowledge of stakeholders and that 20% of these studies are undertaken in the Middle East. A further 25% of the studies are related to the lack of financial risk by stakeholders, and of these 14% are in the Middle East. A knowledge gap is identified in terms of project performance, stakeholder management and risk management, which are seen as significant measures of success in controlling project delay.

The Evaluating Method of Technology Innovation Risk

The thesis analyzes risk factors of enterprise＇s technology innovation, adopts the undetermined measuring model to evaluate technology innovation risk and testifies it through an example.

Capital allocation for cash-subadditive risk measures:From BSDEs toBSVIEs

In the context of risk measures,the capital allocation problem is widely studied in the literature where different approaches have been developed,also in connection with cooperative game theory and systemic risk.Although static capital allocation rules have been extensively studied in the recent years,only few works deal with dynamic capital allocations and its relation with BSDEs.Moreover,all those works only examine the case of an underneath risk measure satisfying cash-additivity and,moreover,a large part of them focuses on the specific case of the gradient allocation where Gateaux differentiability is assumed.The main goal of this paper is,instead,to study general dynamic capital allocations associated to cash-subadditive risk measures,generalizing the approaches already existing in the literature and motivated by the presence of(ambiguity on)interest rates.Starting from an axiomatic approach,we then focus on the case where the underlying risk measures are induced by BSDEs whose drivers depend also on the yvariable.In this setting,we surprisingly find that the corresponding capital allocation rules solve special kinds of Backward Stochastic Volterra Integral Equations(BSVIEs).

Pareto-Optimal Reinsurance Based on TVaR Premium Principle and Vajda Condition

Reinsurance is an effective risk management tool for insurers to stabilize their profitability. In a typical reinsurance treaty, an insurer cedes part of the loss to a reinsurer. As the insurer faces an increasing number of total losses in the insurance market, the insurer might expect the reinsurer to bear an increasing proportion of the total loss, that is the insurer might expect the reinsurer to pay an increasing proportion of the total claim amount when he faces an increasing number of total claims in the insurance market. Motivated by this, we study the optimal reinsurance problem under the Vajda condition. To prevent moral hazard and reflect the spirit of reinsurance, we assume that the retained loss function is increasing and the ceded loss function satisfies the Vajda condition. We derive the explicit expression of the optimal reinsurance under the TVaR risk measure and TVaR premium principle from the perspective of both an insurer and a reinsurer. Our results show that the explicit expression of the optimal reinsurance is in the form of two or three interconnected line segments. Under an additional mild constraint, we get the optimal parameters and find the optimal reinsurance strategy is full reinsurance, no reinsurance, stop loss reinsurance, or quota-share reinsurance. Finally, we gave an example to analyze the impact of the weighting factor on optimal reinsurance.

Exponential martingale for compound Poisson process with latent variable and its applications

In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process.

Stressed portfolio optimization with semiparametric method

Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks,while the traditional mean–variance approach may fail to perform well.This study proposes an innovative semiparametric method consisting of two modeling components:the nonparametric estimation and copula method for each marginal distribution of the portfolio and their joint distribution,respectively.We then focus on the optimal weights of the stressed portfolio and its optimal scale beyond the Gaussian restriction.Empirical studies include statistical estimation for the semiparametric method,risk measure minimization for optimal weights,and value measure maximization for the optimal scale to enlarge the investment.From the outputs of short-term and long-term data analysis,optimal stressed portfolios demonstrate the advantages of model flexibility to account for tail risk over the traditional mean–variance method.

OPTIMAL REINSURANCE UNDER EXPECTED VALUE PRINCIPLE

The paper concerns the problem how to purchase the reinsurance in order to make the insurer and the reinsurance company＇s total risk to be least under the expected value principle. When the insurer and reinsurance company take arbitrary risk measures, sufficient con- ditions for optimality of reinsurance contract are given within the restricted class of admissible contracts. Further, the explicit forms of optimal reinsurance contract under several special risk measures are given, and the method to decide parameters as well.