Background risk models and stepwise portfolio construction
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Publication:340127
DOI10.1007/S11009-015-9458-3zbMATH Open1349.62517OpenAlexW3124979692MaRDI QIDQ340127FDOQ340127
Authors: Alexandru V. Asimit, Raluca Vernic, Ričardas Zitikis 
Publication date: 11 November 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12407/1/AVZ-spc-MCAP-SSRN%20version.pdf
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Laplace transformrisk managementsystemic riskbackground riskcapital allocationportfolio construction
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Laplace transform (44A10)
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Cited In (15)
- On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- Dependence in a background risk model
- Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
- Optimal capital allocations to interdependent actuarial risks
- A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- A complete characterization of bivariate densities using the conditional percentile function
- A form of multivariate Pareto distribution with applications to financial risk measurement
- Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Basis risk management and randomly scaled uncertainty
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- Empirical tail conditional allocation and its consistency under minimal assumptions
- A general approach to full-range tail dependence copulas
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