On log-normal convolutions: an analytical-numerical method with applications to economic capital determination

DOI10.1016/j.insmatheco.2019.10.003zbMath1431.91327OpenAlexW2986386571MaRDI QIDQ2292186

Edward Furman, Daniel Hackmann, Alexey Kuznetsov

Publication date: 3 February 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.003

zbMATH Keywords

convolutionPadé approximationcollective risk modelindividual risk modellog-normal distributiongeneralized gamma convolutioneconomic capital

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (7)

Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ A note on portfolios of averages of lognormal variables ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm ⋮ Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform ⋮ Estimation of multivariate generalized gamma convolutions through Laguerre expansions ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

Uses Software

• R
• QRM

Cites Work

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