In this note we provide new results of interest in the portfolio choice problem when the risky opportunities are correlated: for a general vector (X <Subscript>1</Subscript>, X <Subscript>2</Subscript>,..., X <Subscript> n </Subscript>) of risky opportunities we give new conditions for stochastic comparison among different portfolios choices and new necessary and...</subscript></subscript></subscript>

We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to follow a stochastic process, underpinned by data. The distribution of the present value of future individual cash flows is calculated. Using well-known techniques from the theory...

Orderings of interdependence among random variables are useful in many economic contexts, for example, in assessing ex post inequality under uncertainty; in comparing multidimensional inequality; in valuing portfolios of assets or insurance policies; and in assessing systemic risk. We explore...

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding...

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding...