This paper solves the mean-variance-skewness-kurtosis (MVSK) portfolio optimizationproblem using a new approach based on the Dirichlet distribution. To obtain efficient portfolios,we generalize the Dirichlet distribution using the student copula to produce an increasedproportion of portfolios...

Research characterizes most risk averters as prudent and temperate but devotes little attention to the study of risk lovers. The risk lovers who prefer to combine good with good are prudent and intemperate. This paper shows how the assumption of “combining good with good” can be relaxed, and...

In this paper, we show that risk vulnerability can be associated with the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing in wealth. Specifically, decreasing downside risk aversion in the Arrow–Pratt and Ross senses are respectively...

This paper examines the structure of optimal insurance contracts for a broad class of insureds that includes both risk averters and risk lovers and by assuming that the insureds are prudent. We specify the difference in optimal contract form between risk averters and risk lovers. Treating these...

In this study, we examine the effect of name change on mergers and acquisitions (M&As) among S&P 500 companies from 1979 to 2017. We find a significant name change effect on the S&P 500 index change announcement, although information about the name change was public at the time of the M&A...

This paper examines the profit testing of life insurance companies that issue participating policies, type B and type A universal life policies, and variable annuities with guaranteed minimum maturity and death benefits, when investment returns are stochastic and modeled by normal or variance...

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage securities constitute most of the assets of insurance companies in most countries, it is important to be able to...

Bivariate risk apportionment is the preference for dispersing risks associated with two aspects of individuals' well being into different states of the world. In this paper, we propose an intensity measure of this preference by extending to the bivariate case the concept of marginal rate of...