In an insurance context, one is often interested in the distribution function of a sum of
random variables. Such a sum appears when considering the aggregate claims of an …

Modern risk management calls for an understanding of stochastic dependence going
beyond simple linear correlation. This article deals with the static (nontime-dependent) case …

The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …

This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool
for solving several research and practical problems in the domain of finance and insurance …

The theory of copulae is known to provide a useful tool for modelling dependence in
integrated risk management. In the present paper we review and extend some of the more …

We compare some popular CDO pricing models, related to the bottom-up approach.
Dependence between default times is modelled through Gaussian, stochastic correlation …

In this contribution, the upper bounds for sums of dependent random variables X1+ X2+⋯+
Xn derived by using comonotonicity are sharpened for the case when there exists a random …

In this paper, we show that a vector of positively/negatively associated random variables is
larger/smaller than the vector of their independent duplicates with respect to the …

In summer of 2010, the first author (HL) visited the second author (XL) at Lanzhou University,
China, and chaired the dissertation defense for XL's two graduating doctoral students …