Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
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Publication:3608226
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Cites work
- Coherent measures of risk
- Conditional tail expectations for multivariate phase-type distributions
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
- High Accuracy Quadrature Formulas From Divided Differences With Repeated Arguments
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- scientific article; zbMATH DE number 3082021 (Why is no real title available?)
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Premium Calculation for Fat-tailed Risk
- Residual life time at great age
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Statistical inference using extreme order statistics
- Tail Conditional Expectations for Elliptical Distributions
- Tail Conditional Expectations for Exponential Dispersion Models
Cited in
(39)- A bivariate distribution with Lomax and geometric margins
- The joint distribution of the sum and maximum of dependent Pareto risks
- Optimal capital allocation based on the tail mean-variance model
- Conditional excess risk measures and multivariate regular variation
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- A characterization of optimal portfolios under the tail mean-variance criterion
- Estimation of the parameters of a Markov-modulated loss process in insurance
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- Risk aggregation and capital allocation using a new generalized Archimedean copula
- On some properties of a class of multivariate Erlang mixtures with insurance applications
- A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
- Lifetime dependence models generated by multiply monotone functions
- On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
- Weighted Pricing Functionals With Applications to Insurance
- Generalized Marcinkiewicz laws for weighted dependent random vectors in Hilbert spaces
- AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
- The tail Stein's identity with applications to risk measures
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
- On some layer-based risk measures with applications to exponential dispersion models
- Influence of environmental factors on stress-strength systems with replaceable components
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- Asymptotics for risk capital allocations based on conditional tail expectation
- The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
- TVaR-based capital allocation with copulas
- On a multivariate Pareto distribution
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- On the tail mean-variance optimal portfolio selection
- No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses
- A one-step approach for determining the optimal aggregate capital reserve and allocation
- Modified Greenwood statistic for multivariate Pareto and Student's t distributions in application to statistical testing
- Copula-based estimation of meanimiles of aggregated risks
- Quantifying extreme risks in high-frequency financial, energy, and commodity markets
- Weighted risk capital allocations
- Some results on the CTE-based capital allocation rule
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