In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an explicit solution to the problem of optimal...

In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an explicit solution to the problem of optimal...

Tail conditional expectation (TCE) has properties which are considered desirable and applicable in a variety of situations. (In particular, it satis es requirements of a "coherent" risk measure in the spirit developed by Artzner et al. (1999)). Consequently, there has been growing interest among...

This paper extends the widely used Lee Carter (LC) model (Lee & Carter, 1992) for mortality projection. We suggest a Bayesian change-points model for the time parameters in the Bayesian extension of the LC model suggested in Czado et al. (2005). In particular, we modify the simple linear trend...

In this study we derive a novel multi-population LC type model. Specifically, we extend the Bayesian model in czado et. al. (2005) to allow exchangeability between parameters of a group of m populations. In a validation-based examination, the proposed model was found to be beneficial for several...

This paper extends the widely used Lee Carter (LC) model (Lee & Carter, 1992) for mortality projection. We suggest a random walk with drift to model the time parameter of the Bayesian extension of the LC model suggested in Czado et al. (2005). In a validation-based examination, the proposed...

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,...

This paper presents a Bayesian approach using Markov chain Monte Carlo methods and the generalized-t (GT) distribution to predict loss reserves for the insurance companies. Existing models and methods cannot cope with irregular and extreme claims and hence do not offer an accurate prediction of...

The Lee-Carter model, the dominant mortality projection modeling in the literature, was criticized for its homoscedastic error assumption. This was corrected in extensions to the model based on the assumption that the number of deaths follows Poisson or negative binomial distributions. We...