Simple risk measure calculations for sums of positive random variables

DOI10.1016/j.insmatheco.2013.05.007zbMath1284.60029OpenAlexW2039872140MaRDI QIDQ2446008

Montserrat Guillen, Faustino Prieto, José María Sarabia

Publication date: 15 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.05.007

zbMATH Keywords

beta distributionvalue at riskheavy-tailedtail value at riskmultivariate loss models

Mathematics Subject Classification ID

Related Items (11)

COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ Risk aggregation in multivariate dependent Pareto distributions ⋮ Background risk models and stepwise portfolio construction ⋮ ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION ⋮ Conditional tail risk measures for the skewed generalised hyperbolic family ⋮ Dependence in a background risk model ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS ⋮ Quantifying the risk using copulae with nonparametric marginals ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Analytic expressions for multivariate Lorenz surfaces ⋮ Fundamentals of Risk Measurement and Aggregation for Insurance Applications

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