Multivariate Tweedie distributions and some related capital-at-risk analyses

DOI10.1016/J.INSMATHECO.2009.12.001zbMath1231.91185OpenAlexW3124598066MaRDI QIDQ659235

Zinoviy Landsman, Edward Furman

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.001

zbMATH Keywords

Cauchy's functional equationsexponential dispersion modelsmultivariate Tweedie familyrisk capital allocationsthe tail conditional expectation risk measure

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15)

Related Items (30)

Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ Simulations of full multivariate Tweedie with flexible dependence structure ⋮ Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ A special Tweedie sub-family with application to loss reserving prediction error ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ On some layer-based risk measures with applications to exponential dispersion models ⋮ Risk aggregation and capital allocation using a new generalized Archimedean copula ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ Tweedie multivariate semi-parametric credibility with the exchangeable correlation ⋮ Multivariate lifetime distributions for the exponential dispersion family ⋮ Extending the Thorin class ⋮ Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure ⋮ Construction of multivariate dispersion models ⋮ Characterization and classification of multiple stable Tweedie models ⋮ On a multivariate Pareto distribution ⋮ A multivariate Tweedie lifetime model: censoring and truncation ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ Capital allocation for Sarmanov's class of distributions ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ Some results on the CTE-based capital allocation rule ⋮ On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Intrinsic objective Bayesian estimation of the mean of the Tweedie family ⋮ Size-Biased Risk Measures of Compound Sums ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

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