Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks

DOI10.2143/AST.31.1.996zbMath1060.91081MaRDI QIDQ4461283

Werner Hürlimann

Publication date: 30 March 2004

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

zbMATH Keywords

additivitycomonotonicitystop-loss orderrisk-adjusted capital

Mathematics Subject Classification ID

Related Items (13)

Nonparametric estimation of multivariate density and its derivative by dependent data using gamma kernels ⋮ On some layer-based risk measures with applications to exponential dispersion models ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ Stochastic comparisons of mixtures of parametric families in stochastic epidemics ⋮ A characterization of the distribution of a weighted sum of gamma variables through multiple hypergeometric functions ⋮ Modeling Catastrophes and their Impact on Insurance Portfolios ⋮ Analytical Bounds for two Value-at-Risk Functionals ⋮ An approximation to the convolution of gamma distributions ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Tail Variance Premium with Applications for Elliptical Portfolio of Risks ⋮ Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case ⋮ Estimation methods for expected shortfall

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