Modeling and Comparing Dependencies in Multivariate Risk Portfolios
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Cites work
- Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums
- Comparing sums of exchangeable Bernoulli random variables
- Comparison Results for Markov-Modulated Recursive Models
- Generalized binomial distributions
- scientific article; zbMATH DE number 3712886 (Why is no real title available?)
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- Inequalities for a class of positively dependent random variables with a common marginal
- Inequalities for distributions with given marginals
- Inequalities for stochastic models via supermodular orderings
- Inequalities: theory of majorization and its applications
- Lorenz ordering of means and medians
- Monotonicity results for MR/GI/1 queues
- Some partial orderings of exchangeable random variables by positive dependence
- Supermodular stochastic orders and positive dependence of random vectors
- The Dual Theory of Choice under Risk
Cited in
(66)- Non-optimality of a linear combination of proportional and non-proportional reinsurance
- Supermodular ordering and stochastic annuities
- On dependence of risks and stop-loss premiums
- The concept of comonotonicity in actuarial science and finance: theory.
- Asymptotic ruin probabilities for risk processes with dependent increments.
- A comparison between homogeneous and heterogeneous portfolios.
- Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
- On two dependent individual risk models.
- Risk management in credit risk portfolios with correlated assets.
- Copula convergence theorems for tail events.
- Compound Poisson approximations for individual models with dependent risks.
- A connection between supermodular ordering and positive/negative association.
- The hurdle-race problem.
- Some remarks on the supermodular order
- Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
- Supermodular dependence ordering on a class of multivariate copulas
- A note on multivariate stochastic comparisons of Bernoulli random variables
- Generalized correlation order and stop-loss order
- Diversification of aggregate dependent risks
- On the distribution of IBNR reserves
- The safest dependence structure among risks.
- Stochastic bounds on sums of dependent risks
- Preservation of multivariate dependence under multivariate claim models
- Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
- Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims
- Linear orderings of the scale mixtures of the multivariate skew-normal distribution
- Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications
- Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
- Relations between the spectral measures and dependence of MEV distributions
- Comparison of conditional distributions in portfolios of dependent risks
- The fundamental theorem of mutual insurance
- Multivariate insurance models: an overview
- On risk dependence and mrl ordering
- Variability of total claim amounts under dependence between claims severity and number of events
- Joint probability generating function for a vector of arbitrary indicator variables
- Ordering of multivariate risk models with respect to extreme portfolio losses
- Limiting dependence structures for tail events, with applications to credit derivatives
- Stochastic Bounds for Discrete-time Claim Processes with Correlated Risks
- Multivariate risk processes with interacting intensities
- CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS
- Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
- Aggregate claim estimation using bivariate hidden Markov model
- A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
- Supermodular Order and Lundberg Exponents
- Comparison of multivariate risks and positive dependence
- COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
- Stochastic comparisons of symmetric supermodular functions of heterogeneous random vectors
- Stochastic analysis of duplicates in life insurance portfolios
- Lundberg parameters for non standard risk processes
- Modeling and Generating Dependent Risk Processes for IRM and DFA
- Modeling Catastrophes and their Impact on Insurance Portfolios
- Upper and lower bounds for sums of random variables
- On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
- Comonotonic convex upper bound and majorization
- Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities
- A parametric approach to relaxing the independence assumption in relative survival analysis
- Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
- Provisions and economic capital for credit losses†
- Comparisons of concordance in additive models
- Multinomial model for random sums
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Comparison results for exchangeable credit risk portfolios
- On the construction of copulas and quasi-copulas with given diagonal sections
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