Optimal capital allocations to interdependent actuarial risks
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Publication:2513446
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Cites work
- A probabilistic interpretation of complete monotonicity
- An introduction to copulas.
- An optimization approach to the dynamic allocation of economic capital
- Background risk models and stepwise portfolio construction
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Families of Multivariate Distributions
- Functions decreasing in transposition and their applications in ranking problems
- scientific article; zbMATH DE number 3712886 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Moment and geometric probability inequalities arising from arrangement increasing functions
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate arrangement increasing functions with applications in probability and statistics
- On risk aversion with two risks
- Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
- Risk measurement in the presence of background risk
- Risk taking with additive and multiplicative background risks
- Some new notions of dependence with applications in optimal allocation problems
- Some notions of multivariate positive dependence
- Stochastic comparisons of capital allocations with applications
- Stochastic orders
- To split or not to split: Capital allocation with convex risk measures
- Weighted risk capital allocations
- Worst allocations of policy limits and deductibles
Cited in
(31)- On capital allocation for stochastic arrangement increasing actuarial risks
- Arrangement increasing resource allocation
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes
- On asset allocation for a threshold model with dependent returns
- Likelihood ratio order of sample minimum from heterogeneous Weibull random variables
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- Optimal allocation of policy deductibles for exchangeable risks
- Optimal capital allocation for individual risk model using a mean-variance principle
- Ordering scalar products with applications in financial engineering and actuarial science
- Aging and ordering properties of multivariate lifetimes with Archimedean dependence structures
- Background risk models and stepwise portfolio construction
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Stochastic comparisons of capital allocations with applications
- On heterogeneity in the individual model with both dependent claim occurrences and severities
- Optimal capital allocation with copulas
- Optimal capital allocation based on weighted-mean-variance principle
- Functional characterizations of bivariate weak SAI with an application
- Ordering k-out-of-n systems with interdependent components and one active redundancy
- ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES
- Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
- Capital requirements and optimal investment with solvency probability constraints
- Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes
- Ordering results between extreme order statistics in models with dependence defined by Archimedean [survival] copulas
- Usual stochastic orderings of the second smallest order statistics with dependent semi-parametric distribution random variables
- Ordering results for random maxima and minima from two dependent Kumaraswamy-generalized distributed samples
- Some new notions of dependence with applications in optimal allocation problems
- On coverage limits and deductibles for SAI loss severities
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Allocations of policy limits and ordering relations for aggregate remaining claims
- Comparisons on aggregate risks from two sets of heterogeneous portfolios
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