The concept of comonotonicity in actuarial science and finance: theory
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 …
random variables. Such a sum appears when considering the aggregate claims of an …
Risk measures and comonotonicity: a review
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 …
that can be used in the framework of setting solvency capital requirements for a risky …
Upper and lower bounds for sums of random variables
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 …
Xn derived by using comonotonicity are sharpened for the case when there exists a random …
Ordering risks: Expected utility theory versus Yaari's dual theory of risk
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 …
orderings. These arise as “distortion-free” orderings in Yaari's dual theory of risk (1987). We …
Stochastic orders and risk measures: Consistency and bounds
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 …
order and convex order. It is shown that under weak regularity conditions risk measures …
Copula convergence theorems for tail events
A Juri, MV Wüthrich - Insurance: mathematics and economics, 2002 - Elsevier
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 …
copulae. We derive similar results to the famous Pickands–Balkema–de Haan Theorem of …
The safest dependence structure among risks
In this paper we investigate the dependence in Fréchet spaces containing mutually
exclusive risks. It is shown that, under some reasonable assumptions, the safest …
exclusive risks. It is shown that, under some reasonable assumptions, the safest …
Static-arbitrage upper bounds for the prices of basket options
D Hobson*, P Laurence, TH Wang - Quantitative finance, 2005 - Taylor & Francis
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 …
model and pricing the basket option using that model, we consider the set of all models …
Markov decision processes with recursive risk measures
N Bäuerle, A Glauner - European Journal of Operational Research, 2022 - Elsevier
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 …
and action spaces and unbounded cost. We treat both finite and infinite planning horizons …
An overview of comonotonicity and its applications in finance and insurance
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 …
for solving several research and practical problems in the domain of finance and insurance …