Dhaene, Denuit, Goovaerts, Kaas and Vyncke [Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002a. The concept of comonotonicity in actuarial science and finance: theory. Insurance Math. Econom. 31 (1), 3-33; Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002b. The...

Cox amp; Leland (2000) used techniques from the field of stochastic control theory to show that in the particular case of a Brownian motion for the asset log-returns risk averse decision makers with a fixed investment horizon prefer path-independent pay-offs over path-dependent ones. In this...

Dhaene, Denuit, Goovaerts, Kaas amp; Vyncke (2002a,b) have studied convex bounds for a sum of dependent random variables and applied these to sums of log-normal random variables. In particular, they have shown how these convex bounds can be used to derive closed-form approximations for several...

Dollar cost averaging (DCA) is a widely employed investment strategy in financial markets. At the same time it is also well documented that such gradual policy is sub-optimal from the point of view of risk averse decision makers with a fixed investment horizon T 0. However, an explicit strategy...

Using various techniques, Cox and Leland (1982,2000), Dybvig (1988a, 1988b), Vanduffel et al. (2009) and Bernard and Boyle (2010) have shown that in onedimensional markets, complex (path-dependent) contracts are generally not optimal for rational consumers. In this paper, we generalise these...

Copulas have become a buzzword in recent years in the academic community, and practitioners are paying more and more attention to the choice of a copula in risk management applications.This paper gives a non-technical and pedagogical introduction to the topic of copulas and explains their role...