In an insurance context, one is often interested in the distribution function of a sum of
random variables. Such a sum appears when considering the aggregate claims of an …

In this paper we examine and summarize properties of several well-known risk measures
that can be used in the framework of setting solvency capital requirements for a risky …

In this contribution, the upper bounds for sums of dependent random variables X1+ X2+⋯+
Xn derived by using comonotonicity are sharpened for the case when there exists a random …

We introduce a class of partial orderings of risks that are dual to stochastic dominance
orderings. These arise as “distortion-free” orderings in Yaari's dual theory of risk (1987). We …

We investigate the problem of consistency of risk measures with respect to usual stochastic
order and convex order. It is shown that under weak regularity conditions risk measures …

Tail dependence is studied from a distributional point of view by means of appropriate
copulae. We derive similar results to the famous Pickands–Balkema–de Haan Theorem of …

In this paper we investigate the dependence in Fréchet spaces containing mutually
exclusive risks. It is shown that, under some reasonable assumptions, the safest …

In this paper we investigate the possible values of basket options. Instead of postulating a
model and pricing the basket option using that model, we consider the set of all models …

In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state
and action spaces and unbounded cost. We treat both finite and infinite planning horizons …

Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool
for solving several research and practical problems in the domain of finance and insurance …