We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal allocation of wealth within the class of 'constant mix' portfolios.First, we consider the portfolio...

We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall...

Knowledge of the distribution function of the stochastically compounded value of a series of future (positive and/or negative) payments is needed for solving several problems in an insurance or finance environment, see e.g. Dhaene et al. (2002 a,b). In Kaas et al. (2000), convex lower bound...

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 business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship...

We consider the problem of how to determine the required level of the current provision in order to be able to meet a series of future deterministic payment obligations, in case the provision is invested according to a given random return process. Approximate solutions are derived, taking into...

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial mathematics...