Collective risk models with dependence uncertainty
From MaRDI portal
Recommendations
Cites work
- A note on deficit analysis in dependency models involving Coxian claim amounts
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Asymptotic equivalence of risk measures under dependence uncertainty
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Comparison methods for stochastic models and risks
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Computation of sharp bounds on the distribution of a function of dependent risks
- Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
- Extremal dependence concepts
- Extreme negative dependence and risk aggregation
- General convex order on risk aggregation
- How superadditive can a risk measure be?
- scientific article; zbMATH DE number 5321684 (Why is no real title available?)
- Inequalities for distributions with given marginals
- Loss models. From data to decisions
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Quantitative risk management. Concepts, techniques and tools
- Reducing model risk via positive and negative dependence assumptions
- Reducing risk by merging counter-monotonic risks
- Reduction of Value-at-Risk bounds via independence and variance information
- Risk aggregation with dependence uncertainty
- Risk bounds for factor models
- Robustness and sensitivity analysis of risk measurement procedures
- Stochastic finance. An introduction in discrete time
- Stochastic orders
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- The concept of comonotonicity in actuarial science and finance: theory.
- VaR bounds for joint portfolios with dependence constraints
Cited in
(19)- Self-similar processes in collective risk theory
- Risk aggregation with dependence uncertainty
- A copula transformation in multivariate mixed discrete-continuous models
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- A multi-year microlevel collective risk model
- Collective risk models with dependence
- Influence of information asymmetric risk on collective risk model
- Dependence uncertainty for aggregate risk: examples and simple bounds
- Dependent Multi-Peril Ratemaking Models
- Convex risk measures for the aggregation of multiple information sources and applications in insurance
- Asymptotic equivalence of risk measures under dependence uncertainty
- Bonus-malus premiums under the dependent frequency-severity modeling
- On copula-based collective risk models: from elliptical copulas to vine copulas
- scientific article; zbMATH DE number 2226383 (Why is no real title available?)
- Worst-case moments under partial ambiguity
- Tail behavior of discounted portfolio loss under upper tail comonotonicity
- Is accumulation risk in cyber methodically underestimated?
- Collective risk models with FGM dependence
- Robust risk evaluation of joint life insurance under dependence uncertainty
This page was built for publication: Collective risk models with dependence uncertainty
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4563797)
