Multiple risk factor dependence structures: distributional properties

DOI10.1016/j.insmatheco.2017.06.006zbMath1395.91261arXiv1607.04739OpenAlexW3123830210MaRDI QIDQ2404540

Jianxi Su, Edward Furman

Publication date: 19 September 2017

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

Full work available at URL: https://arxiv.org/abs/1607.04739

zbMATH Keywords

Pareto distributionsdefault riskmultivariate distributionsfactor modeldependenceweighted risk measures

Mathematics Subject Classification ID

Related Items (5)

Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Statistical detection and classification of background risks affecting inputs and outputs ⋮ Livestock mortality catastrophe insurance using fatal shock process ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

Uses Software

• QRM

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