Asset and liability management is the simultaneous considerations of assets and liabilities in strategic investment planning. The asset and liability management models in the literature are reviewed with an emphasis on the recently developed approaches. In most of the recent models, the...

The paper presents a procedure for testing a general multivariate distribution for symmetry about a point and, also, a procedure adapted to the special properties of multivariate stable laws. In the general case use is made of a stochastic process derived from the empirical characteristic...

We discuss rates of convergence for the distribution of normalized sample extremes to the appropriate limit distribution. We show that the rate of convergence depends on that of the corresponding dependence functions and that of the marginals. The univariate results are well known by now, so we...

A complete characterization of multivariate random variables with minimum L2 Wasserstein-distance is proved by means of duality theory and convex analysis. This characterization allows to determine explicitly the optimal couplings for several multivariate distributions. A partial solution of...

We discuss the question whether in Skorokhod's a.s. construction theorem for probability measures on a product space one can choose the second component of the a.s. convergent r.v.'s independent of n [epsilon] N if the second marginals of the probability measures are independent of n [epsilon]....

Bounds are given for crude survival probabilities when marginal distributions of the latent times T1, ..., Tn and the distribution of the value T = min(T1, ..., Tn) fixed. The application of these bounds to statistical analysis of the survival data resulting from certain kind of biological...

This paper introduces new techniques for modeling financial data under the assumption that the data belong to the domain of attraction of a multivariate stable Pareto law. We provide tail estimators for the index of stability parameter "a" and the corresponding spectral measure. These estimators...

The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for...