Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type

DOI10.1016/j.insmatheco.2020.11.007zbMath1460.91221OpenAlexW3109606218MaRDI QIDQ2656995

Edward Furman, Jianxi Su, Yisub Kye

Publication date: 17 March 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.11.007

zbMATH Keywords

phase-type distributionsystemic risksize-biased distributionconditional tail expectationeconomic capital allocation

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (10)

Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ Heavy-tailed phase-type distributions: a unified approach ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Risk aggregation and capital allocation using a new generalized Archimedean copula ⋮ Continuous scaled phase-type distributions ⋮ Basis risk management and randomly scaled uncertainty ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions

Uses Software

• EMpht

Cites Work

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