The quantitative modeling of complex systems of interacting risks is a fairly recent
development in the financial and insurance industries. Over the past decades, there has …

Risk aggregation with dependence uncertainty refers to the sum of individual risks with
known marginal distributions and unspecified dependence structure. We introduce the …

Distorted expectations can be expressed as weighted averages of quantiles. In this note, we
show that this statement is essentially true, but that one has to be careful with the correct …

Abstract Probabilistic Tsunami Hazard Assessment (PTHA) often proceeds by constructing a
suite of hypothetical earthquake scenarios, and modelling their tsunamis and occurrence …

We introduce a new and easy-to-calculate measure for the expected degree of herd
behavior or co-movement between stock prices. This forward looking measure is model …

SUMMARY Offshore Probabilistic Tsunami Hazard Assessments (offshore PTHAs) provide
large-scale analyses of earthquake-tsunami frequencies and uncertainties in the deep …

In this paper, we propose a methodology for pricing basket options in the multivariate
Variance Gamma model introduced in Luciano and Schoutens [Quant. Finance 6 (5), 385 …

This paper offers a systematic treatment of risk‐sharing rules for insurance losses, based on
a list of relevant properties. A number of candidate risk‐sharing rules are considered …

Two by-now folkloric results in the theory of risk sharing are that (i) any feasible allocation is
convex-order-dominated by a comonotonic allocation; and (ii) an allocation is Pareto optimal …

In this letter, we derive a maximum likelihood receiver of binary phase shift keying signals
over Nakagami-m distributed additive noise in power line communication system. The …