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...

This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we present a general utility optimization problem...