Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach, the "naive'' approach, the shifted approach, and the...

A rich variety of probability distributions has been proposed in the actuarial literature for fitting of insurance loss data. Examples include: lognormal, log-t, various versions of Pareto, loglogistic, Weibull, gamma and its variants, and generalized beta of the second kind distributions, among...

Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been employed: the empirical approach, the “naive” approach,...

Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious...

Assuming the multiplicative background risk model, which has been a popular model due to its practical applicability and technical tractability, we develop a general framework for analyzing portfolio performance based on its subportfolios. Since the performance of subportfolios is easier to...

Gini-type correlation coefficients have become increasingly important in a variety of research areas, including economics, insurance and finance, where modelling with heavy-tailed distributions is of pivotal importance. In such situations, naturally, the classical Pearson correlation coefficient...

We derive consistency, asymptotic normality, and standard error estimation for the tail conditional allocation, also known as the marginal expected shortfall, under minimal conditions and thus geared toward widest applicability. These advances have become possible due to a newly developed...

The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly restrictive and sometimes unrealistic. In the present paper,...

The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics. Meanwhile, there is large literature on insurance...