The bounds for risk measures of a portfolio when its components have known marginal distributions but the dependence among the risks is unknown are often too wide to be useful in practice. Moreover, availability of additional dependence information, such as knowledge of some higher-order...

The present note first discusses the concept of s-convex pain functions in decision theory. Then, the economic behavior of an agent with such a pain function is represented through the comparison of some recursive lotteries

In this pedagogical note, it is shown how extremal values of classical measures of association like Pearson's correlation coeffcient, Kendall's τ, Spearman's ρ and Gini's γ characterize comonotonicity and countermonotonicity. The link between zero-correlation and mutual independence is also...