BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL (Q4563819): Difference between revisions

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scientific article; zbMATH DE number 6880375

Language	Label	Description	Also known as
English	BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL	scientific article; zbMATH DE number 6880375

Statements

instance of

scholarly article

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title

BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL (English)

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4 June 2018

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full work available at URL

https://arxiv.org/abs/1607.02623

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zbMATH Keywords

Pearson correlation

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weighted Gini correlation

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capital asset pricing model

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weighted insurance pricing model

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bivariate distributions

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describes a project that uses

QRM

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MaRDI profile type

MaRDI publication profile

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cites work

Q3395941

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Background risk models and stepwise portfolio construction

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Robust and Efficient Fitting of Loss Models

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Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view

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Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data

0 references

On the optimal risk allocation problem

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A Gini Autocovariance Function for Time Series Modelling

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On the covariance between functions

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Q3996150

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Stochastic finance. An introduction in discrete time

0 references

Weighted Pricing Functionals With Applications to Insurance

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The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

0 references

Q3084090

0 references

Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis

0 references

Q3206104

0 references

Loss Models

0 references

Some Concepts of Dependence

0 references

Q5253267

0 references

An introduction to copulas.

0 references

Q3528030

0 references

On quantifying dependence: a framework for developing interpretable measures

0 references

Q5462944

0 references

Mathematical Risk Analysis

0 references

Ordering Gini indexes of multivariate elliptical risks

0 references

TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE

0 references

Gini indices as areas and covariances: what is the difference between the two representations?

0 references

A contribution to multivariate L-moments: L-comoment matrices

0 references

A Gini-based unit root test

0 references

A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT

0 references

Risk capital allocation and cooperative pricing of insurance liabilities.

0 references

Advances in prospect theory: cumulative representation of uncertainty

0 references

Prospect Theory

0 references

Insurance pricing and increased limits ratemaking by proportional hazards transforms

0 references

The Gini methodology. A primer on a statistical methodology.

0 references

The Asymptotic Distribution of the S–Gini Index

0 references

Identifiers

zbMATH Open document ID

1390.91183

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DOI

10.1017/asb.2017.20

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4563819

@@ Property / cites work @@
+Q3395941
@@ Property / cites work: Q3395941 / rank @@
+Normal rank
@@ Property / cites work @@
+Background risk models and stepwise portfolio construction
+Normal rank
@@ Property / cites work @@
+Robust and Efficient Fitting of Loss Models
@@ Property / cites work: Robust and Efficient Fitting of Loss Models / rank @@
+Normal rank
@@ Property / cites work @@
+Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
+Normal rank
@@ Property / cites work @@
+Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
+Normal rank
@@ Property / cites work @@
+On the optimal risk allocation problem
@@ Property / cites work: On the optimal risk allocation problem / rank @@
+Normal rank
@@ Property / cites work @@
+A Gini Autocovariance Function for Time Series Modelling
+Normal rank
@@ Property / cites work @@
+On the covariance between functions
@@ Property / cites work: On the covariance between functions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996150
@@ Property / cites work: Q3996150 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Weighted Pricing Functionals With Applications to Insurance
+Normal rank
@@ Property / cites work @@
+The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
+Normal rank
@@ Property / cites work @@
+Q3084090
@@ Property / cites work: Q3084090 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis
+Normal rank
@@ Property / cites work @@
+Q3206104
@@ Property / cites work: Q3206104 / rank @@
+Normal rank
@@ Property / cites work @@
+Loss Models
@@ Property / cites work: Loss Models / rank @@
+Normal rank
@@ Property / cites work @@
+Some Concepts of Dependence
@@ Property / cites work: Some Concepts of Dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Q5253267
@@ Property / cites work: Q5253267 / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3528030
@@ Property / cites work: Q3528030 / rank @@
+Normal rank
@@ Property / cites work @@
+On quantifying dependence: a framework for developing interpretable measures
+Normal rank
@@ Property / cites work @@
+Q5462944
@@ Property / cites work: Q5462944 / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical Risk Analysis
@@ Property / cites work: Mathematical Risk Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Ordering Gini indexes of multivariate elliptical risks
+Normal rank
@@ Property / cites work @@
+TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE
+Normal rank
@@ Property / cites work @@
+Gini indices as areas and covariances: what is the difference between the two representations?
+Normal rank
@@ Property / cites work @@
+A contribution to multivariate L-moments: L-comoment matrices
+Normal rank
@@ Property / cites work @@
+A Gini-based unit root test
@@ Property / cites work: A Gini-based unit root test / rank @@
+Normal rank
@@ Property / cites work @@
+A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT
+Normal rank
@@ Property / cites work @@
+Risk capital allocation and cooperative pricing of insurance liabilities.
+Normal rank
@@ Property / cites work @@
+Advances in prospect theory: cumulative representation of uncertainty
+Normal rank
@@ Property / cites work @@
+Prospect Theory
@@ Property / cites work: Prospect Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Insurance pricing and increased limits ratemaking by proportional hazards transforms
+Normal rank
@@ Property / cites work @@
+The Gini methodology. A primer on a statistical methodology.
+Normal rank
@@ Property / cites work @@
+The Asymptotic Distribution of the S–Gini Index
@@ Property / cites work: The Asymptotic Distribution of the S–Gini Index / rank @@
+Normal rank