In this paper, we give an explicit representation of the lowest cost strategy (or "cost-efficient" strategy) to achieve a given payoff distribution. For any inefficient strategy, we are able to construct financial derivatives which dominate in the sense of first-order or second-order stochastic...

In actuarial modeling, right-skewed distributions are of paramount importance. Typically, they have the property to become unimodal and symmetric after applying some increasing concave transformation T (e.g., log-transformation); we then refer to them as T-unimodal T-symmetric distributions. In...

We study the impact of dependence uncertainty on E(X_1X_2 · · · X_d) when X_i ∼ F_i for all i. Under some conditions on the Fi, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the F_i. The results are applied to assess the...