Multivariate Pareto portfolios: TCE-based capital allocation and divided differences

DOI10.1080/03461230701554007zbMath1164.91028OpenAlexW2063618003MaRDI QIDQ3608226

Zinoviy Landsman, Arthur Chiragiev

Publication date: 28 February 2009

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701554007

zbMATH Keywords

tail conditional expectationmultivariate Pareto distributiondividend differences

Mathematics Subject Classification ID

Related Items (33)

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Uses Software

• QRM

Cites Work

• Risk capital decomposition for a multivariate dependent gamma portfolio
• Residual life time at great age
• Statistical inference using extreme order statistics
• Coherent Measures of Risk
• High Accuracy Quadrature Formulas From Divided Differences With Repeated Arguments
• Conditional tail expectations for multivariate phase-type distributions
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Premium Calculation for Fat-tailed Risk
• Tail Conditional Expectations for Exponential Dispersion Models
• Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
• Tail Conditional Expectations for Elliptical Distributions
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