In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding...

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding...

In this paper we are interested in optimizing proportional reinsurance and investment policies in a multidimensional Lévy-driven insurance model. The criterion is that of maximizing exponential utility. Solving the classical Hamilton-Jacobi-Bellman equation yields that the optimal retention...

This book shows how modern risk management in banks and insurance companies can be modeled in Excel and Matlab. Readers are provided with all the necessary knowledge and skills in a systematic and structured step-by-step manner. Apart from basic Excel knowledge, no previous knowledge is...

Abstract We consider a Hidden Markov Model (HMM) where the integrated continuous-time Markov chain can be observed at discrete time points perturbed by a Brownian motion. The aim is to derive a filter for the underlying continuous-time Markov chain. The recursion formula for the discrete-time...

Abstract The present paper analyzes an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market. We solve the optimization problem under partial information by making the market...

Abstract Major events like the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when optimal investment and reinsurance strategies have to be determined, it is important to consider models which reflect this dependence....

Abstract Assume that the surplus process of an insurance company is described by a general Lévy process and that possible dividend pay-outs to shareholders are restricted to random discrete times which are determined by an independent renewal process. Under this setting we show that the optimal...

Abstract We give a unified mathematical framework for reduced-form models for portfolio credit risk and identify properties which lead to positive dependence of default times. Dependence in the default hazard rates is modeled by common macroeconomic factors as well as by inter-obligor links. It...