Gini-type correlation coefficients have become increasingly important in a variety of research areas, including … economics, insurance and finance, where modelling with heavy-tailed distributions is of pivotal importance. In such situations …, naturally, the classical Pearson correlation coefficient is of little use. On the other hand, it has been observed that when …

following multi-Vasicek model with time-varying correlation are discussed in the investment portfolio. Demand of insurance …In this article, a model of optimal insurance pricing and investment strategies is established. The insurance price … and t is equal to or greater than zero. Dynamical optimal price of an insurance contract and the optimal investment …

-life insurance risk to the bivariate chain ladder model as introduced by Braun in 2004. In this model, we assume two correlated loss …

. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of … insurance parameter risk. …

ambiguous correlation using the theory of G-Brownian motions. We then extend the problem to stochastic volatility models for … with an ambiguous correlation between the two risky assets. The portfolio selection that is robust to the uncertain … correlation is formulated as the utility maximization problem over the worst-case scenario with respect to the possible choice of …

ensemble of random matrices that models the truly existing set of measured correlation matrices. As a most welcome side effect …

correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …