Dybvig ( 1988a , 1988b ) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a payoff is, however, no longer known with certainty. We...

We study the impact of dependence uncertainty on E(X_1X_2 · · · X_d) when X_i ∼ F_i for all i. Under some conditions on the Fi, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the F_i. The results are applied to assess the...

The problem of the fair allocation of indivisible items is a relevant and challenging economic problem with several applications. For small dimensional frameworks, the problem can be solved exactly by full enumeration of all the possible allocations of the items. For higher dimensional...

Actuarial fairness pertains to the situation in which the price of an insurance contract is equal to its expected outcome. We show that actuarial fairness leads to "unfairness" in that annuitants with higher survival rates can choose a better payoff in the sense of second-order stochastic...

We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule. Through a...

We study conditional correlations between pairs of risks in normal variance mixture models, which are widely used in risk management and finance. In particular, we examine up- and down-correlations defined as the conditional correlation between the sum of risks and an individual component,...