Risk management in finance and insurance

Abstract

The cumulative thesis consists of papers that study the impact of Value-at-Risk and average Value-at-Risk-based financial regulation on a representative financial institution's portfolio optimization (see Paper 1 and Paper 2), and a paper that investigates intergenerational risk sharing in a Defined Contribution pension system using an overlapping generations model (see Paper 3). Hence, the thesis contributes to the research strands of risk management in finance and insurance, decision analysis under uncertainty, portfolio optimization, and optimal pension design.