Risk measurement in the presence of background risk

DOI10.1016/j.insmatheco.2007.01.015zbMath1152.91607OpenAlexW3122931492MaRDI QIDQ998264

Andreas Tsanakas

Publication date: 28 January 2009

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5988/1/Tsanakas2008.pdf

zbMATH Keywords

elliptical distributionsrisk measuresportfolio managementbackground riskcapital allocation

Mathematics Subject Classification ID

Related Items (22)

A fuzzy portfolio selection model with background risk ⋮ Optimal allocation of policy deductibles for exchangeable risks ⋮ A new variability order based on tail-heaviness ⋮ Background risk models and stepwise portfolio construction ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ Mean-risk model for uncertain portfolio selection with background risk ⋮ A risk index model for uncertain portfolio selection with background risk ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH ⋮ Risky asset allocation and consumption rule in the presence of background risk and insurance markets ⋮ A note on weighted premium calculation principles ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Loss reserving using loss aversion functions ⋮ On a multivariate Pareto distribution ⋮ Multivariate Tweedie distributions and some related capital-at-risk analyses ⋮ Concave/convex weighting and utility functions for risk: a new light on classical theorems ⋮ Uncertain portfolio selection with background risk ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ Weighted risk capital allocations ⋮ Some results on the CTE-based capital allocation rule ⋮ Optimal capital allocations to interdependent actuarial risks ⋮ Weighted Pricing Functionals With Applications to Insurance

Cites Work

• Dynamic capital allocation with distortion risk measures
• The concept of comonotonicity in actuarial science and finance: theory.
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Stochastic ordering of bivariate elliptical distributions
• On the generalization of Stein's lemma for elliptical class of distributions
• Coherent Measures of Risk
• Values of Non-Atomic Games
• The Dual Theory of Choice under Risk
• Risk Vulnerability and the Tempering Effect of Background Risk
• Economic Capital Allocation Derived from Risk Measures
• Tail Conditional Expectations for Elliptical Distributions
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