In this pedagogical note, it is shown how extremal values of classical measures of association like Pearson's correlation coeffcient, Kendall's τ, Spearman's ρ and Gini's γ characterize comonotonicity and countermonotonicity. The link between zero-correlation and mutual independence is also...

In this paper, we propose a new fear index based on (equity) option surfaces of an index and its components. The quantification of the fear level will be solely based on option price data. The index takes into account market risk via the VIX volatility barometer, liquidity risk via the concept...

This paper offers a systematic treatment of risk-sharing rules for insurance losses, based on a list of relevant properties. A number of candidate risk-sharing rules are considered, including the conditional mean risk-sharing rule proposed in Denuit and Dhaene (2012). and the newly introduced...

Two by-now folkloric results in the theory of risk sharing are that (i) any feasible allocation is convex-order-dominated by a comonotonic allocation; and (ii) an allocation is Pareto optimal for the convex order if and only if it is comonotonic. Here, comonotonicity corresponds to the...

In this paper we analyze and evaluate a standard approach financial institutions use to calculate their so-called total economic capital. If we consider a business that faces a total random loss S over a given one-year horizon then economic capital is traditionally defined as the difference...

This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimisation argument, requiring that the weighted sum of measures for the deviations of the business unit’s losses from their respective allocated...