This paper has considered a risk measure ? and a (maybe incomplete and/or imperfect) arbitrage-free market with pricing rule p. They are said to be compatible if there are no reachable strategies y such that p (y) remains bounded and ?(y) is close to - 8. We show that the lack of compatibility...

This paper studies a portfolio choice problem such that the pricing rule may incorporate transaction costs and the risk measure is coherent and expectation bounded. We will prove the necessity of dealing with pricing rules such that there are essentially bounded stochastic discount factors,...

This paper deals with the optimal reinsurance problem if both insurer and reinsurer are facing risk and uncertainty, though the classical uncertainty free case is also included. The insurer and reinsurer degrees of uncertainty do not have to be identical. The decision variable is not the...

Recent literature has shown the existence of pathologies if one combines the most important models for pricing and hedging derivatives and coherent risk measures. There may exist portfolios (good deals) whose (return; risk) is as close as desired to (1; ??1). This paper goes beyond existence...

Risk measures beyond the variance have shown theoretical advantages when addressing some classical problems of Financial Economics, at least if asymmetries and/or heavy tails are involved. Nevertheless, in portfolio selection they have provoked several caveats such as the existence of good deals...

Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin, the surplus just before ruin and the...

Non-homogenous Poisson processes with periodic claim intensity rate are proposed as the claim counting process of risk theory. We introduce a doubly periodic Poisson model with short and long term trends, illustrated by a double-beta intensity function. Here periodicity does not repeat the exact...

Risk classification is an important part of the actuarial process in Insurance companies. It allows for the underwriting of the best risks, through an appropriate choice of classification variables, and helps set fair premiums in rate-making. Logistic regression is one of the sophisticated...

This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may be finite or infinite, with bounded or...

This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one period no-arbitrage approach of Financial Economics (Ingersoll (1987)). Under quite weak assumptions on the interest rate behavior several shadow riskless assets are introduced by means of...