Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses

DOI10.1007/s11009-021-09888-0zbMath1491.62154OpenAlexW3206605274MaRDI QIDQ2157416

Christian Y. Robert, Michel M. Denuit

Publication date: 28 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09888-0

zbMATH Keywords

mixture modelsweighted distributionsArchimedean copulassize-biased transformconditional Monte Carlo simulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial mathematics (91G05)

Related Items (3)

EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES ⋮ From risk reduction to risk elimination by conditional mean risk sharing of independent losses ⋮ A stochastic model of group wealth responses to insurance mechanisms in low-income communities

Cites Work

• Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
• On a multivariate Pareto distribution
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Risk capital decomposition for a multivariate dependent gamma portfolio
• Stochastic orders
• Weighted premium calculation principles
• Weighted risk capital allocations
• Multivariate Liouville distributions
• On multivariate infinitely divisible distributions
• Continuous versions of regular conditional distributions
• Weighted risk capital allocations in the presence of systematic risk
• Size bias for one and all
• Majorization and the Lorenz order with applications in applied mathematics and economics
• Dependence in a background risk model
• Stop-loss protection for a large P2P insurance pool
• Max-factor individual risk models with application to credit portfolios
• Convex order and comonotonic conditional mean risk sharing
• Preserving the Rothschild-Stiglitz type of increasing risk with background risk
• From risk sharing to pure premium for a large number of heterogeneous losses
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• Multivariate weighted distributions: a review and some extensions
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• On multivariate weighted distributions
• On stochastic ordering of random vectors
• SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES
• “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
• Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
• Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”
• Weighted Pricing Functionals With Applications to Insurance
• LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach

This page was built for publication: Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses