In this paper we explore the problem of economic capital allocations in the context of non-negative multivariate (insurance) risks possessing a dependence structure. We derive a general result and illustrate it with a number of useful examples. One such example, for instance, develops explicit...

In this study we derive a novel multi-population LC type model. Specifically, we extend the Bayesian model in czado et. al. (2005) to allow exchangeability between parameters of a group of m populations. In a validation-based examination, the proposed model was found to be beneficial for several...

This paper introduces a multivariate tail covariance (MTCov) measure, which is a matrix-valued risk measure designed to explore the tail dispersion of multivariate loss distributions. The MTCov is the second multivariate tail conditional moment around the MTCE, the multivariate tail conditional...

This paper extends the widely used Lee Carter (LC) model (Lee & Carter, 1992) for mortality projection. We suggest a Bayesian change-points model for the time parameters in the Bayesian extension of the LC model suggested in Czado et al. (2005). In particular, we modify the simple linear trend...

Stein's Lemma, important in statistics and also in capital asset pricing models, is generalized to the case of elliptical class of distributions. The case when the covariance matrix of the underlying distribution does not exist, is also considered. The results are illustrated by multivariate...

This paper extends the widely used Lee Carter (LC) model (Lee & Carter, 1992) for mortality projection. We suggest a random walk with drift to model the time parameter of the Bayesian extension of the LC model suggested in Czado et al. (2005). In a validation-based examination, the proposed...

In this article, we examine a generalized version of an identity made famous by Stein (1981) who constructed the so-called Stein's Lemma in the special case of a normal distribution. Other works later followed to extend the lemma to the larger class of elliptical distributions, e.g. Landsman...

Brown et al. (2006) derive a Stein-type inequality for the multivariate Student-t distribution. We generalize their result to the family of (multivariate) generalized hyperbolic distributions and derive a lower bound for the variance of a function of a random variable

We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component. Pools may be...