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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
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Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward; Kye, Yisub; Su, Jianxi - In: Insurance / Mathematics & economics 96 (2021), pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
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Longevity trend risk over limited time horizons
Richards, Stephen J.; Currie, Iain D.; Kleinow, Torsten; … - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 2, pp. 262-277
Persistent link: https://www.econbiz.de/10012307355
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Extremes for coherent risk measures
Asimit, Alexandru; Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 332-341
Persistent link: https://www.econbiz.de/10011630863
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Credible risk measures with applications in actuarial sciences and finance
Pitselis, Georgios - In: Insurance / Mathematics & economics 70 (2016), pp. 373-386
Persistent link: https://www.econbiz.de/10011597330
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Risk management with Tail Quasi-Linear Means
Bäuerle, Nicole; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 1, pp. 170-187
Persistent link: https://www.econbiz.de/10012194089
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Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Insurance / Mathematics & economics 108 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
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The structure of reinsurance contracts
Boyer, Marcel; Dupont-Courtade, Théodora - In: The Geneva papers on risk and insurance - issues and … 40 (2015) 3, pp. 474-492
Persistent link: https://www.econbiz.de/10011419056
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Optimal risk financing in large corporations through insurance captives
Picard, Pierre; Pinquet, Jean - In: The Geneva risk and insurance review 38 (2013) 1, pp. 48-86
Persistent link: https://www.econbiz.de/10009758403
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Financial instruments for managing disaster risks related to climate change
Wolfrom, Leigh; Yokoi-Arai, Mamiko - In: Financial market trends 108 (2015) 1, pp. 25-47
Persistent link: https://www.econbiz.de/10011494623