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...

Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15‐minute intervals. Within‐country and cross‐border liquidity commonalities are found to be significant and, after...

This paper implements a comprehensive study on the long run post-issue operating performance of more than 700 initially public offerings (IPOs) in the Japanese over-the-counter market (JASDAQ) from 1991 to 2001. Empirical results document dramatic and continuing operating underperformance that...