We shortly review the top quark decay into charged Higgs, and present new results on its production at the upgraded Tevatron. We have computed the MSSM cross-section for single charged Higgs in association with the top quark beyond the regime of on-shell t t̄ production followed by the decay t → H b,. Our results are higher than recent results in the literature. In the case where H belongs to th...

in this paper, we present a revised similarity measure based onchen-and-chen's similarity measure for fuzzy risk analysis. the revisedsimilarity measure uses the corrected formulae to calculate the centre ofgravity points, therefore it is more  effective than the chen-and-chen'smethod. the revised similarity measure can overcome the drawbacks of theexisting methods. we have also proposed a new ...

Knowledge of the distribution function of the stochastically compounded value of a series of future (positive and/or negative) payments is needed for solving several problems in an insurance or finance environment, see e.g. Dhaene et al. (2002 a,b). In Kaas et al. (2000), convex lower bound approximations for such a sum have been proposed. In case of changing signs of the payments however, the ...

Abstract. Li, Scarsini, and Shaked (1996a) provide bounds on the distribution and the tail for functions of dependent random vectors having fixed multivariate marginals. In this paper, we correct a result stated in the above article and we give improved bounds in the case of the sum of identically distributed random vectors. Moreover, we provide the dependence structures meeting the bounds when...

Capital allocation techniques are of central importance in portfolio management and risk-based performance measurement. In this paper we propose an axiom system for capital allocation and analyze its satisfiability and completeness: it is shown that for a given risk measure ρ there exists a capital allocation Λρ which satisfies the main axioms if and only if ρ is sub-additive and positively hom...

The latest electroweak precision data are analyzed assuming the existence of the fourth generation of leptons (N,E) and quarks (U,D), which are not mixed with the known three generations. If all four new particles are heavier than Z boson, quality of the fit for the one new generation is as good as for the Standard Model. In the case of neutral leptons with masses around 50 GeV (“partially heav...

We define (d, n)−coherent risk measures as set-valued maps from Ld into IR satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from IR−valued random portfolio to IR−valued measure of risk. Necessary and sufficient conditions o...

Optimal fictitious completions of an incomplete financial market are shown to be associated with exponential martingales (not just local martingales) and, therefore, to "an optimal equivalent martingale measure'. Results of independent interest, in the theory of continuous-time martingales, are derived as well. iirshurgb, PA 15213-3890

We consider a dynamic reinsurance market, where the traded risk process is driven by a jump-diffusion and where claim amounts are unbounded. These markets are known to be incomplete, and there are typically infinitely many martingale measures. In this case, no-arbitrage pricing theory can typically only provide wide bounds on prices of reinsurance claims. Optimal martingale measures such as the...

Using elements from the theory of ergodic backward stochastic differential equations, we study the behavior of forward entropic risk measures. We provide a general represention result and examine their behavior for risk positions of large maturities. We also compare them with their classical counterparts and derive a parity result.