An approximation method for risk aggregations and capital allocation rules based on additive risk factor models

DOI10.1016/j.insmatheco.2018.01.002zbMath1401.91218OpenAlexW2783560510MaRDI QIDQ1742712

Ming Zhou, Jan Dhaene, Jing Yao

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.002

zbMATH Keywords

approximationgeneralized gamma distributioncapital allocationrisk aggregationconvex lower bound

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Closed-form and bias-corrected estimators for the bivariate gamma distribution, Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences, Asymptotics of multivariate conditional risk measures for Gaussian risks, Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure, Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models, MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

Uses Software

• CreditRisk+

Cites Work

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