Economic value added optimization of insurers using a multivariate Student t-model

zbMATH Open1356.91055MaRDI QIDQ2965074FDOQ2965074

Authors: K. D'Haeseleer, J. F. Walhin 

Publication date: 27 February 2017

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zbMATH Keywords

tail dependencetail value at riskdiversification benefitmultivariate Student-\(t\)economic value addedrequired solvency levelrisk adjusted capitalstochatic dependence

Mathematics Subject Classification ID

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

Cited In (1)

• An Econometric Model Based on the Maxmin Expected Utility Model: An Application to Earthquake Insurance

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