Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
From MaRDI portal
Publication:1698300
DOI10.1007/s10479-017-2537-9zbMath1415.91169OpenAlexW2618731066MaRDI QIDQ1698300
Publication date: 15 February 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-017-2537-9
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (7)
On capital allocation for stochastic arrangement increasing actuarial risks ⋮ On active redundancy allocation for coherent systems -- from the viewpoint of minimal cut decomposition ⋮ Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios ⋮ Optimal allocation of policy limits in layer reinsurance treaties ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes ⋮ A new representation method for probability distributions of multimodal and irregular data based on uniform mixture model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Portfolio optimization with a copula-based extension of conditional value-at-risk
- On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities
- Risk taking with additive and multiplicative background risks
- Some new notions of dependence with applications in optimal allocation problems
- An introduction to copulas.
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Stochastic orders
- Stochastic orders of scalar products with applications
- Worst allocations of policy limits and deductibles
- Stochastic models for risk estimation in volatile markets: a survey
- To split or not to split: Capital allocation with convex risk measures
- Optimal allocation of policy limits and deductibles under distortion risk measures
- On risk aversion with two risks
- 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
- Stochastic comparisons for allocations of policy limits and deductibles with applications
- A note on allocation of portfolio shares of random assets with Archimedean copula
- Optimal allocation of policy limits and deductibles
- Optimal capital allocations to interdependent actuarial risks
- Ordering scalar products with applications in financial engineering and actuarial science
- Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
- Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
- Inequalities: theory of majorization and its applications
This page was built for publication: Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas