In the individual risk model, one is often concerned about positively dependent risks. Several notions of positive dependence have been proposed to describe such dependent risks. In this paper, we assume that the risks in the individual risk model are positively dependent through the stochastic...

As opposed to institutional investors, individual investors typically have several investment objectives in mind. The traditional utility maximization approach is not only oversimplified but also may not be suitable for real world application. Behavioral asset allocation divides a portfolio into...

Assume that an insurer has two dependent lines of business. The reserves of the two lines of business are modeled by a two-dimensional compound Poisson risk process or a common shock model. To protect from large losses and to reduce the ruin probability of the insurer, the insurer applies a...

Assume that a compound Poisson surplus process is invested in a stochastic interest process which is assumed to be a Lévy process. We derive recursive and integral equations for ruin probabilities with such an investment. Lower and upper bounds for the ultimate ruin probability are obtained...

Notions of positive dependence and copulas play important roles in modeling dependent risks. The invariant properties of notions of positive dependence and copulas under increasing transformations are often used in the studies of economics, finance, insurance and many other fields. In this...

This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

In this paper, we discuss the distributional properties of random sums. We first derive conditions under which the distribution of a binomial sum is PF2 and then show under the same conditions the distribution of a Poisson sum is PF2 by approximating a Poisson sum by a sequence of binomial sums....

We analyze the performance of Japanese opentype stock mutual funds for the 1981-1992 period. The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% and 10.8% per annum. These funds tend...

In this article, we provide a detailed characterization of the intraday return volatility in gold futures contracts traded on the COMEX division of the New York Mercantile Exchange. The approach allows the study of intraday patterns, interday ARCH effects, and announcement effects in a coherent...

The German 10‐year Bund futures contract traded on the Eurex futures and options exchange in Frankfurt became the world's most actively traded derivative product by the end of 1999. In this article, we provide a detailed exploration of the interday and intraday return volatility in the Bund...