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Aggregation of randomly weighted large risks

Asimit, Alexandru V.; Hashorva, Enkelejd; Kortschak, Dominik - In: IMA journal of management mathematics 28 (2017) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10011774250

Efficient risk allocation within a non-life insurance group under Solvency II regime

Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, … - In: Insurance / Mathematics & economics 66 (2016), pp. 69-76

Persistent link: https://www.econbiz.de/10011442691

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Optimal reinsurance in the presence of counterparty default risk

Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697

Persistent link: https://www.econbiz.de/10010227904

Optimal non-life reinsurance under Solvency II regime

Asimit, Alexandru V.; Chi, Yichun; Hu, Junlei - In: Insurance / Mathematics & economics 65 (2015), pp. 227-237

Persistent link: https://www.econbiz.de/10011428664

Risk sharing with multiple indemnity environments

Asimit, Alexandru V.; Boonen, Tim J.; Chi, Yichun; … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 587-603

Persistent link: https://www.econbiz.de/10013205971