Elliptical families and copulas: tilting and premium; capital allocation

DOI10.1080/03461230801939546zbMath1224.91067OpenAlexW1996888300MaRDI QIDQ3077728

Zinoviy Landsman

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230801939546

zbMATH Keywords

premiumcapital allocationelliptical copula and familyelliptical copula tiltingsymmetric marginals

Mathematics Subject Classification ID

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

Related Items (1)

A Skew‐normal copula‐driven GLMM

Cites Work

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• The meta-elliptical distributions with given marginals
• Some results on the CTE-based capital allocation rule
• On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
• Tail Conditional Expectations for Elliptical Distributions

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