Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed

We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for nonexpected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to the...

This paper develops a theoretical framework for analyzing the decision to provide or buy insurance against the risk of natural catastrophes. In contrast to conventional models of insurance, the insurer has a non-zero probability of insolvency which depends on the distribution of the risks, the...

Standard kernel density estimation methods are very often used in practice to estimate density function. It works well in numerous cases. However, it is known not to work so well with skewed, multimodal and heavy-tailed distributions. Such features are usual with income distributions, defined...

We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to...

Copula modelling has become ubiquitous in modern statistics. Here, the problem of nonparametricallyestimating a copula density is addressed. Arguably the most popular nonparametric density estimator,the kernel estimator is not suitable for the unit-square-supported copula densities, mainly...

Several authors have proposed to combine movements in princi- pal components to generate scenarios of "large" historical changes in term structures, i.e. stress-scenarios. This approach, however, has at least two shortcommings. This paper answers at these two problems and proposes a general...

Traditional …financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of comovement, delinking it from fundamentals. In their...

Extremal events are difficult to model since it is difficult to characterize formally those events. The 2003 heat wave in Europe was not characterized by very high temperatures, but mainly the fact that night temperature were no cool enough for a long period of time. Hence, simulation of several...

In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it is usually admitted that reinsurance...