Basis risk management and randomly scaled uncertainty
From MaRDI portal
Publication:2682982
DOI10.1016/j.insmatheco.2022.08.005OpenAlexW4292136307WikidataQ114167201 ScholiaQ114167201MaRDI QIDQ2682982
Stéphane Loisel, Pierre Montesinos, Claude Lefèvre, M. Mercé Claramunt
Publication date: 1 February 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.08.005
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Background risk models and stepwise portfolio construction
- New integral representations of \(n\)th order convex functions
- Risk taking with additive and multiplicative background risks
- Asymptotics of random contractions
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Stochastic orders
- Tail behavior of the product of two dependent random variables with applications to risk theory
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
- Tail asymptotics under beta random scaling
- Best bounds for positive distributions with fixed moments
- Modes and moments of unimodal distributions
- Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
- Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
- Subexponentiality of the product of independent random variables
- Dependence in a background risk model
- From light tails to heavy tails through multiplier
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- On s -convex approximations
- Multiplicative Background Risk
- Extremes and First Passage Times of Correlated Fractional Brownian Motions
- Maximum Likelihood Estimation for the 4-Parameter Beta Distribution
- DISTRIBUTIONAL CHARACTERIZATIONS THROUGH SCALING RELATIONS
- The s-convex orders among real random variables, with applications
- Multiplicative Strong Unimodality
- On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
- Moment Information for Probability Distributions, Without Solving the Moment Problem. I: Where is the Mode?
- A generalized unimodality
- Symmetric Random Walk
- Modeling Catastrophes and their Impact on Insurance Portfolios
- Comparison of individual risk models
