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...

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...

In this paper we address the problem of projecting mortality when data are severely affected by random fluctuations, due in particular to a small sample size, or when data are scanty. Such situations may emerge when dealing with small populations, such as small countries (possibly previously...

In this paper, we search for such an investment strategy that minimises the probability of default (or lifetime ruin probability) given a fixed investment amount during the accumulation phase and a fixed withdrawal rate during the annuitisation part. In solving the above-mentioned problem, we...

We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...

The CreditRisk+ model is one of the industry standards for estimating the credit default risk for a portfolio of credit loans. The natural parameterization of this model requires the default probability to be apportioned using a number of (non-negative) factor loadings. However, in practice only...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>In this article, insurance claims are priced using an indifference pricing principle. We first revisit the traditional economic framework and then extend it to incorporate a financial (sub)market as a tool to invest and to (partially) hedge. In this context, we...</p>

Brown et al. (2006) derive a Stein-type inequality for the multivariate Student’s t-distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable.

Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an...

Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which income is received. Optimal payoffs have their lowest...