In risk management, ignoring the dependence among various types of claims often results in over-estimating or under-estimating the ruin probabilities of a portfolio. This paper focuses on three commonly used ruin probabilities in multivariate compound risk models, and using the comparison...

This paper evaluates the performance of glamour and value strategies and tests the extrapolation model for the Japanese equity market. In general, value stocks outperform glamour stocks by between 6 and 12 percent per annum for the five years after portfolio formation. Evidence from past, future...

In this paper, improvements on the Lundberg bound for the ruin probability in the classical risk model are considered. First, a lower bound and an upper bound are derived in terms of an NWU and NBU distribution which generalize the Lundberg bound based on the exponential distribution. Second,...

Using a unique dataset from the Shanghai Stock Exchange, we study the relation between daily open-to-close stock returns and order imbalances, and the commonality in order imbalances across individual, institutional, and proprietary investors. We find that institutional (proprietary) order...

Japanese firms conducting 260 rights issues on the Tokyo Stock Exchange between 1971 and 1986 have subsequently performed poorly. The long-term downward drift is remarkably similar to those following Japanese initial public offerings and seasoned equity offerings, accompanied by a reliable...

As opposed to institutional investors, individual investors typically have several investment objectives in mind. The traditional utility maximization approach is not only oversimplified but also may not be suitable for real world application. Behavioral asset allocation divides a portfolio into...

In the individual risk model, one is often concerned about positively dependent risks. Several notions of positive dependence have been proposed to describe such dependent risks. In this paper, we assume that the risks in the individual risk model are positively dependent through the stochastic...