We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall...

We investigate multiperiod portfolio selection problems in a Black and Scholes type market where a basket of 1 riskfree and "m" risky securities are traded continuously. We look for the optimal allocation of wealth within the class of "constant mix" portfolios. First, we consider the portfolio...

In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process, and a shifted inverse Gaussian process to describe the logarithm of the stock...