Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often it is defined ambiguously through risk-based portfolio construction techniques. Recently it has been suggested to connect maximising diversification with minimising risk...

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines are ruined in an infinite-time horizon), where u...

In recent years, new methods concerning risk mitigation techniques in energy planning strategies have become popular. Delarue et al. introduced the integrated portfolio investment model to account for supply-demand constraints. This paper proposes a model which is suitable to the energy...