Capital allocation for Sarmanov's class of distributions

DOI10.1007/S11009-016-9483-XzbMath1358.60034OpenAlexW3123257156MaRDI QIDQ518872

Raluca Vernic

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-016-9483-x

zbMATH Keywords

exponential distributioncapital allocationSarmanov multivariate distributiontail-value-at-risk (TVaR)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)

Related Items (11)

Bivariate Sarmanov phase-type distributions for joint lifetimes modeling ⋮ On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation ⋮ Risk models based on copulas for premiums and claim sizes ⋮ A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures ⋮ Conditional tail risk measures for the skewed generalised hyperbolic family ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ A generalization of expected shortfall based capital allocation ⋮ On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution ⋮ Capital allocation for Sarmanov's class of distributions ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

Cites Work

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• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS
• Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study

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