We study the effect of riskiness on optimal portfolio. As discussed by Levy (1992), the main drawback of the standard model witg ine decision variable and one risky asset developed over the last twenty-five years, following the contributions of Rothschild and Stiglitz (1970,1971) and Hadar and...

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are identical except that the first investor will live longer than the second one.

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.

The aim of this paper if to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rate capita clause, we will study the rate on line method. For the pro rate temporis clause, we will study the use of a trivial approximation. The...

The aim of this paper if to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rate capita clause, we will study the rate on line method. For the pro rate temporis clause, we will study the use of a trivial approximation. The...

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.

The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer's recursion. Numerical examples show the...

Cumulative prospect theory was introduced by Tversky and Kahneman to combine the empirical realism of their original prospect theory with the theoretical advantages of rank-dependent utility. Preference axiomatizations were provided in several papers. All exosting axiomatizations, however, only...

In addition to showing the connection between parallel contingent and noncontingent risk comparison problems, we articulate a method for solving both kinds of problems using the "basis" approach. The basis approach has often been used implicitly, but we argue that there is value to making its...

This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...