The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed bene ts. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an...

SUMMARY The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability...

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benets. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

This paper presents a model for the "gambling effect," i.e., the effect that risky gambles are evaluated differently than riskless outcomes due to an intrinsic utility (or disutility) of gambling.The model turns out to violate stochastic dominance and therefore its primary applications will be...

This paper introduces the signed Choquet integral, i.e., a nonmonotonic generalization of the Choquet integral. Applications to welfare theory, multi-period optimization, and asset pricing are described.

Considering that a natural way of sharing risks in insurance companies is to require risk by risk Pareto optimality, we offer in case of strong risk aversion, a simple computable method for deriving all Pareto optima. More importantly all Individually Rational Pareto optima can be computed...