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Blog Post: TheFinancialServicesClub: Bankers are cavemen or cool? #ebaday
Blog Post: TheAlephBlog: Post 2500: What is the Aleph Blog About?
Vendor News: June 12, 2014 - SS&C GlobeOp Hedge Fund Performance Index: May performance 1.04%; Capital Movement Index: June net flows advance 1.01%
Published / Preprint: On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums. (arXiv:1406.2950v1 [q-fin.RM])
Blog Post: iMFdirect: Era of Benign Neglect of House Price Booms is Over

Blog Post: TheFinancialServicesClub: Bankers are cavemen or cool? #ebaday

Posted: 12 Jun 2014 03:40 AM PDT

I've just attended EBAday for the first time in a few years, and it's an interesting conference.read more...

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Blog Post: TheAlephBlog: Post 2500: What is the Aleph Blog About?

Posted: 12 Jun 2014 03:38 AM PDT

Every hundred or so posts, I take a step back, and try to think about broader issues about blogging about finance. Â Tonight, I want to explain to new readers what the Aleph Blog is about.read more...

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Vendor News: June 12, 2014 - SS&C GlobeOp Hedge Fund Performance Index: May performance 1.04%; Capital Movement Index: June net flows advance 1.01%

Posted: 12 Jun 2014 01:08 AM PDT

Published / Preprint: On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums. (arXiv:1406.2950v1 [q-fin.RM])

Posted: 11 Jun 2014 05:38 PM PDT

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. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the marginal indemnification functions,...

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