Dhaene, Denuit, Goovaerts, Kaas and Vyncke [Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002a. The concept of comonotonicity in actuarial science and finance: theory. Insurance Math. Econom. 31 (1), 3-33; Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002b. The...

Copulas have become a buzzword in recent years in the academic community, and practitioners are paying more and more attention to the choice of a copula in risk management applications.This paper gives a non-technical and pedagogical introduction to the topic of copulas and explains their role...

Cox amp; Leland (2000) used techniques from the field of stochastic control theory to show that in the particular case of a Brownian motion for the asset log-returns risk averse decision makers with a fixed investment horizon prefer path-independent pay-offs over path-dependent ones. In this...

Dhaene, Denuit, Goovaerts, Kaas amp; Vyncke (2002a,b) have studied convex bounds for a sum of dependent random variables and applied these to sums of log-normal random variables. In particular, they have shown how these convex bounds can be used to derive closed-form approximations for several...

Even in case of the Brownian motion as most natural rate of return model it appears too difficult to obtain analytic expressions for most risk measures of constant continuous annuities. In literature the so-called comonotonic approximations have been proposed but these still require the...

systematic factors and the latter are responsible for default dependence between different firms. Another source of default dependence is structural links between firms. For example, a mother company may consist of different legal entities and a default of the former may be contagious and lead...