Background risk models and stepwise portfolio construction
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Cites work
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- scientific article; zbMATH DE number 1253515 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
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- Risk taking with additive and multiplicative background risks
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Cited in
(15)- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions
- A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
- Empirical tail conditional allocation and its consistency under minimal assumptions
- A form of multivariate Pareto distribution with applications to financial risk measurement
- Optimal capital allocations to interdependent actuarial risks
- On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
- Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
- 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
- A complete characterization of bivariate densities using the conditional percentile function
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- A general approach to full-range tail dependence copulas
- Dependence in a background risk model
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