Economic Capital Allocations for Non-negative Portfolios of Dependent Risks

DOI10.2143/AST.38.2.2033355zbMath1274.91379OpenAlexW2109521279MaRDI QIDQ3634593

Zinoviy Landsman, Edward Furman

Publication date: 25 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.2.2033355

Mathematics Subject Classification ID

Related Items (23)

EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES ⋮ AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS ⋮ Simulations of full multivariate Tweedie with flexible dependence structure ⋮ Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS ⋮ TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts ⋮ On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Asymptotics for risk capital allocations based on conditional tail expectation ⋮ TVaR-based capital allocation with copulas ⋮ On a multivariate Pareto distribution ⋮ Multivariate Tweedie distributions and some related capital-at-risk analyses ⋮ LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING ⋮ On two families of bivariate distributions with exponential marginals: aggregation and capital allocation ⋮ On a multivariate gamma distribution ⋮ Determining and Allocating Diversification Benefits for a Portfolio of Risks ⋮ Weighted risk capital allocations ⋮ Stochastic orders in time transformed exponential models with applications ⋮ Agricultural Insurance Ratemaking: Development of a New Premium Principle ⋮ SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES ⋮ Size-Biased Risk Measures of Compound Sums ⋮ Weighted Pricing Functionals With Applications to Insurance

Cites Work

• Estimating conditional tail expectation with actuarial applications in view
• On a multivariate gamma distribution
• Non-additive measure and integral
• Coherent Measures of Risk
• Risk Measures and Comonotonicity: A Review
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Weighted Distributions and Size-Biased Sampling with Applications to Wildlife Populations and Human Families
• Multivariate Exponential-type Distributions
• Unnamed Item

This page was built for publication: Economic Capital Allocations for Non-negative Portfolios of Dependent Risks