scholarly journals Actuarial Risk Measures for Financial Derivative Pricing

2006 ◽  
Author(s):  
Marc Goovaerts ◽  
Roger J. A. Laeven
Keyword(s):  
Risk Measures ◽  
Derivative Pricing ◽  
Financial Derivative ◽  
Actuarial Risk

Evidence-Based Sentencing

Criminology ◽  
2021 ◽  
Author(s):  
James C. Oleson
Keyword(s):  
Risk Assessment ◽  
Decision Making ◽  
Risk Measures ◽  
Criminal History ◽  
Community Safety ◽  
Assessment Instruments ◽  
Evidence Based ◽  
Criminogenic Needs ◽  
Actuarial Risk ◽  
Using Data

The evidence-based practice (EBP) movement can be traced to a 1992 article in the Journal of the American Medical Association, although decision-making with empirical evidence (rather than tradition, anecdote, or intuition) is obviously much older. Neverthless, for the last twenty-five years, EBP has played a pivotal role in criminal justice, particularly within community corrections. While the prediction of recidivism in parole or probation decisions has attracted relatively little attention, the use of risk measures by sentencing judges is controversial. This might be because sentencing typically involves both backward-looking decisions, related to the blameworthiness of the crime, as well as forward-looking decisions, about the offender’s prospective risk of recidivism. Evidence-based sentencing quantifies the predictive aspects of decision-making by incorporating an assessment of risk factors (which increase recidivism risk), protective factors (which reduce recidivism risk), criminogenic needs (impairments that, if addressed, will reduce recidivism risk), the measurement of recidivism risk, and the identification of optimal recidivism-reducing sentencing interventions. Proponents for evidence-based sentencing claim that it can allow judges to “sentence smarter” by using data to distinguish high-risk offenders (who might be imprisoned to mitigate their recidivism risk) from low-risk offenders (who might be released into the community with relatively little danger). This, proponents suggest, can reduce unnecessary incarceration, decrease costs, and enhance community safety. Critics, however, note that risk assessment typically looks beyond criminal conduct, incorporating demographic and socioeconomic variables. Even if a risk factor is facially neutral (e.g., criminal history), it might operate as a proxy for a constitutionally protected category (e.g., race). The same objectionable variables are used widely in presentence reports, but their incorporation into an actuarial risk score has greater potential to obfuscate facts and reify underlying disparities. The evidence-based sentencing literature is dynamic and rapidly evolving, but this bibliography identifies sources that might prove useful. It first outlines the theoretical foundations of traditional (non-evidence-based) sentencing, identifying resources and overviews. It then identifies sources related to decision-making and prediction, risk assessment logic, criminogenic needs, and responsivity. The bibliography then describes and defends evidence-based sentencing, and identifies works on sentencing variables and risk assessment instruments. It then relates evidence-based sentencing to big data and identifies data issues. Several works on constitutional problems are listed, the proxies problem is described, and sources on philosophical issues are described. The bibliography concludes with a description of validation research, the politics of evidence-based sentencing, and the identification of several current initiatives.

Optimal Reinsurance through Minimizing New Risk Measures under Technical Benefit Constraints

2018 ◽  
Vol 35 ◽  
pp. 24-37
Author(s):  
Abderrahim El Attar ◽  
Mostafa El Hachloufi ◽  
Zine El Abidine Guennoun
Keyword(s):  
Augmented Lagrangian ◽  
Risk Measures ◽  
Decision Support Tool ◽  
Optimal Choice ◽  
Insurance Company ◽  
Support Tool ◽  
Minimization Procedure ◽  
Variance Risk ◽  
Actuarial Risk ◽  
Conditional Tail Expectation

In this paper we present an approach to minimize the actuarial risk for the optimal choice of a form of reinsurance, and this is intended to be through a choice of treated parameters that minimize the risk using the Conditional Tail Expectation and the Conditional Tail Variance risk measures. The minimization procedure is based on the Augmented Lagrangian and a genetic algorithm with technical benefit as a constraint. This approach can be seen as a decision support tool that can be used by managers to minimize the actuarial risk in the insurance company.

scholarly journals Some Results on Measures of Interaction between Paired Risks

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 88 ◽  
Author(s):  
Rui Fang ◽  
Xiaohu Li
Keyword(s):  
Monte Carlo Simulation ◽  
Risk Management ◽  
Monte Carlo ◽  
Risk Measures ◽  
Dependence Structure ◽  
Marginal Distributions ◽  
Numerical Examples ◽  
Risk Contribution ◽  
Actuarial Risk

Co-risk measures and risk contribution measures have been introduced to evaluate the degree of interaction between paired risks in actuarial risk management. This paper attempts to study the ordering behavior of measures on interaction between paired risks. For various co-risk measures and risk contribution measures, we investigate how the marginal distributions and the dependence structure impact on the level of interaction between paired risks. Also, several numerical examples based on Monte Carlo simulation are presented to illustrate the main findings.

scholarly journals A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing

2021 ◽  
Vol 69 (1) ◽  
pp. 1-6
Author(s):  
SM Arif Hossen ◽  
ABM Shahadat Hossain
Keyword(s):  
Monte Carlo ◽  
Comparative Analysis ◽  
Monte Carlo Methods ◽  
American Options ◽  
Financial Derivatives ◽  
Numerical Results ◽  
Derivative Pricing ◽  
Quasi Monte Carlo ◽  
Financial Derivative ◽  
Path Dependent

The main purpose of this dissertation is to study Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods for pricing financial derivatives. We estimate the Price of European as well as various path dependent options like Asian, Barrier and American options by using these methods. We also compute the numerical results by the above mentioned methods and compare them graphically as well with the help of the MATLAB Coding. Dhaka Univ. J. Sci. 69(1): 1-6, 2021 (January)

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