In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the net risk exposure of a generic insurer, in conjunction...

In order to price multivariate derivatives, there is need for a multivariate stock price model. To keep the simplicity and attractiveness of the one-dimensional Black & Scholes model, one often considers a multivariate model where each individual stock follows a Black & Scholes model, but the...