We develop a theory of local risk minimization for payment processes in discrete time, and apply this theory to the pricing and hedging of equity-linked life-insurance contracts. Thus, we extend the work of Møller (2001a) in several directions: from risk minimization (which is done under a...

Notions of positive dependence and copulas play important roles in modeling dependent risks. The invariant properties of notions of positive dependence and copulas under increasing transformations are often used in the studies of economics, finance, insurance and many other fields. In this...

We consider a group of identical risk-neutral insurers selling single-period indemnity insurance policies. The insurance market consists of individuals with common state-dependent utility function who are identical except for their known accident probability q. Insurers incur production...

This paper focuses on the constant elasticity of variance (CEV) model for studying the utility maximization portfolio selection problem with multiple risky assets and a risk-free asset. The Hamilton–Jacobi–Bellman (HJB) equation associated with the portfolio optimization problem is...

Consider a portfolio of n identically distributed risks with dependence structure modeled by an Archimedean survival copula. Wüthrich (2003) and Alink et al. (2004) proved that the probability of a large aggregate loss scales like the probability of a large individual loss, times a...

We extend the characterization of the left-monotone risk aversion developed by Ryan (2006) to the case of unbounded random variables. The notion of weak convergence is insufficient for such an extension. It requires the solution of a host of delicate convergence problems. To this end, some...

We extend the lifecycle model (LCM) of consumption over a random horizon (also known as the Yaari model) to a world in which (i) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii) consumers can adapt their consumption strategy to new information about...

The Haezendonck–Goovaerts risk measure is based on the premium calculation principle induced by an Orlicz norm, which is defined via an increasing and convex Young function and a parameter q∈(0,1) representing the confidence level. In this paper, we first reestablish the first-order...

In this paper, we establish the second order asymptotics of ruin probabilities of a renewal risk model under the condition that the equilibrium distribution of claim sizes belongs to a rather general heavy-tailed distribution subclass—the class of second order subexponential distributions with...

The aim of this paper is to introduce a premium principle which relies on Cumulative Prospect Theory by Kahneman and Tversky. Some special cases of this premium principle have already been studied in the actuarial literature. In the paper, properties of this premium principle are examined.