Probability statements about future evolutions of financial and actuarial risks are expressed in terms of the ‘real-world’ probability measure P, whereas in an arbitrage-free environment, the prices of these traded risks can be expressed in terms of an equivalent martingale measure Q. The...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing di¤erent stock prices at a …xed future date. The construction of these measures is based on the...

We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).

In this article, we show that some important implications concerning comonotonic couples and corresponding convex order relations for their sums cannot be translated to counter-monotonicity in general. In a financial context, it amounts to saying that merging counter-monotonic positions does not...

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

A linear functional errors-in-variables model with unknown slope parameter and Gaussian errors is considered. The measurement error variance is supposed to be known, while the variance of errors in the equation is unknown. In this model a risk bound of asymptotic minimax type for arbitrary...

Adjusted least squares (ALS) estimators for the conic section problem are considered. Consistency of the translation invariant version of ALS estimator is proved. The similarity invariance of the ALS estimator with estimated noise variance is shown. The conditions for consistency of the ALS...