Dependence structures of multiple risks play an important role in optimal allocation problems for insurance … optimal allocation problems. We also develop the properties of these dependence structures. We illustrate the applications of … these notions in the optimal allocation problems of deductibles and policy limits and in capital reserves problems. These …

derives the optimal insurance contract as a single deductible insurance when the VaR constraint is redundant or as a double … deductible insurance when the VaR constraint is binding. Finally, this study discusses the optimal coverage level from common … forms of insurances, including deductible insurance, upper-limit insurance, and proportional coinsurance. Copyright Springer …

restrict the indemnity to be one of three common forms: a deductible policy, an upper-limit policy, or a policy with …

examples show that this condition is valid for members of standard copula families (including the Clayton and Frank ones). …

this kind of information is often scarce. Many research has already been done in this field e.g. through the theory of … comonotonicity. It turned out that a comonotonic dependence structure provides a very useful tool when approximating an unknown but … comonotonicity coefficient _(X) takes values in the range [0, 1]. As we want to quantify the degree of comonotonicity, _(X) is …

Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …

random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be …

This paper examines the marginal distributions of stocks and bonds, and a copula between the movement of stock prices … risk of an aggregated portfolio, a copula is utilized for risk aggregation, which captures various dependencies in the … median and the tail of marginal distributions, unlike a linear correlation. In this study, various types of copula, including …