Cossette, Marceau, and Perreault derived formulas for aggregation and capital allocation based on risks following two bivariate exponential distributions. Here, we derive formulas for aggregation and capital allocation for 18 mostly commonly known families of bivariate distributions. This collection of formulas could be a useful reference for financial risk management.

In this paper, a function involving the divided difference of the psi function is proved to be completely monotonic, a class of inequalities involving sums is found, and an equivalent relation between complete monotonicity and one of the class of inequalities is established.

Previous work on the joint asymptotic distribution of the sum and maxima of Gaussian processes is extended here. In particular, it is shown that for a stationary sequence of standard normal random variables with correlation function r, the condition r(n)ln n = o(1) as n → ∞ suffices to establish the asymptotic independence of the sum and maximum.

Let {Xn, n ≥ 0} be a stationary Gaussian sequence of standard normal random variables with covariance function r(n) = EX0Xn. Let Under some mild regularity conditions on r(n) and the condition that r(n)lnn = o(1) or (r(n)lnn)−1 = O(1), the asymptotic distribution of is obtained. Continuous-time results are also presented as well as a tube formula tail area approximation to the joint distribution of the sum and maximum.

In this paper we give some properties of the pairwise perfectly normal spaces defined by Lane. In particular we prove that a space (X, P, Q) is pairwise perfectly normal if and only if every P(Q)–closed set is the zero of a P(Q)–l.s.c. and Q(P)–u.s.c. function. Also we characterize the pairwise perfect normality in terms of sequences of semicontinuous functions by means of a result which contains the known Tong's characterization of perfectly normal topological spaces, whose proof we modify by using the technique of binary relations.

This note obtains the distribution of N(a), the number of independent random variables each distributed uniformly on (0, 1) which must be added for the sum first to exceed some positive constant a.