On capital allocation for stochastic arrangement increasing actuarial risks
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Cites work
- An optimization approach to the dynamic allocation of economic capital
- Bivariate characterization of some stochastic order relations
- Comparison methods for stochastic models and risks
- Functional characterizations of bivariate weak SAI with an application
- Functions decreasing in transposition and their applications in ranking problems
- Inequalities: theory of majorization and its applications
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Multivariate arrangement increasing functions with applications in probability and statistics
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
- On allocations to portfolios of assets with statistically dependent potential risk returns
- Optimal allocation of policy limits and deductibles
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- Some new notions of dependence with applications in optimal allocation problems
- Statistical Size Distributions in Economics and Actuarial Sciences
- Stochastic comparisons of capital allocations with applications
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Stochastic orders
- Stochastic orders in reliability and risk. In honor of Professor Moshe Shaked. Based on the talks presented at the international workshop on stochastic orders in reliability and risk management, SORR2011, Xiamen, China, June 27--29, 2011
- To split or not to split: Capital allocation with convex risk measures
- Worst allocations of policy limits and deductibles
Cited in
(7)- Preservation of weak SAI's under increasing transformations with applications
- Stochastic comparisons of capital allocations with applications
- On the increasing convex order of generalized aggregation of dependent random variables
- A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property
- Optimal capital allocations to interdependent actuarial risks
- Ordering optimal deductible allocations for stochastic arrangement increasing risks
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
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