Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the net risk exposure of a generic insurer, in conjunction...

In this article, we show, in the context of partial hedging, that some important relationships about comonotonicity and convex order cannot be translated to counter-monotonicity in general because of the possibility of over-hedging. We propose a new notion called proper hedge that can e...

We revisit the problem of minimizing a separable convex function with a linear constraint and box constraints. This optimization problem arises naturally in many applications in economics, insurance, and finance. Existing literature exclusively tackles this problem by using the traditional...

In this paper we show that under appropriate moment conditions, the supermodular ordered random vectors X = (X1, X2, ... , Xn) and Y = (Y1, Y2, ... ,Yn) with equal expected utilities (or distorted expectations) of the sums X1 + X2 + ... + Xn and Y1 + Y2 + ... + Yn for an appropriate utility (or...

In this paper we show that under appropriate moment conditions, two supermodular ordered random vectors with equal expected utilities (or distorted expectations) of the sums for an appropriate utility (or distortion) function, must necessarily be equal in distribution. The results in this paper...

We revisit the problem of minimizing a separable convex function with a linear constraint and box constraints. This optimization problem arises naturally in many applications in economics, insurance, and finance. Existing literature exclusively tackles this problem by using the traditional...

In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...