Applied Mathematical Methods in Financial Risk Management

Dear Colleagues,

In the last twenty years, a special attention of Mathematical Finance and Insurance has been devoted to risk management and measurement.

Motivated by capital requirements imposed by the Basel Accord and by the need of quantifying the riskiness of financial positions, the theory of risk measures and of insurance premia has been developed both in a static and in  a dynamic setting by applying (quasi-)convex analysis, probability theory and stochastic processes.  Furthermore, related arguments and applications of risk measurement have been investigated: numerical applications, portfolio choice, capital allocation, risk sharing, just to mention few of them.

In addition, the theory of insurance premia, on the one hand, has many connections with that of risk measures while, on the other hand, has a different range of applications and motivations.

The purpose of this Special Issue is to collect a number of articles providing a landscape on the applications of mathematical methods to risk management and measurement.

Prof. Dr. Emanuela Rosazza Gianin
Prof. Dr. Elisa Mastrogiacomo
Guest Editors

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