Stochastic comparisons of capital allocations with applications
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Cites work
- A review of selected topics in multivariate probability inequalities
- An optimization approach to the dynamic allocation of economic capital
- An overview of comonotonicity and its applications in finance and insurance
- Decision principles derived from risk measures
- Extension of the bivariate characterization for stochastic orders
- Functions decreasing in transposition and their applications in ranking problems
- scientific article; zbMATH DE number 3417266 (Why is no real title available?)
- Inequalities: theory of majorization and its applications
- Log-concave probability and its applications
- Optimal allocation of policy limits and deductibles
- Optimal allocation of policy limits and deductibles under distortion risk measures
- Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
- Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
- Some inequalities of linear combinations of independent random variables. II
- Stochastic comparisons for allocations of policy limits and deductibles with applications
- Stochastic orders
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- To split or not to split: Capital allocation with convex risk measures
- Weighted risk capital allocations
- Worst allocations of policy limits and deductibles
- Worst VaR scenarios: A remark
Cited in
(24)- On capital allocation for stochastic arrangement increasing actuarial risks
- Stochastic comparison of generalized combined risk processes
- Optimal capital allocation based on the tail mean-variance model
- On a robust risk measurement approach for capital determination errors minimization
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Optimal allocation of policy deductibles for exchangeable risks
- Analytical expression of the expected values of capital at voting in the stochastic environment
- Optimal capital allocations to interdependent actuarial risks
- GlueVaR risk measures in capital allocation applications
- Optimal capital allocation for individual risk model using a mean-variance principle
- Applications of axiomatic capital allocation and generalized weighted allocation
- Comparison of combined stochastic risk processes and its applications
- On orderings between weighted sums of random variables
- Functional characterizations of bivariate weak SAI with an application
- Multiobjective optimization of credit capital allocation in financial institutions
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- Capital allocation to alternatives with a multivariate ladder gamma return distribution
- Increasing convex order of capital allocation with dependent assets under threshold model
- Ordering properties of generalized aggregation with applications
- A one-step approach for determining the optimal aggregate capital reserve and allocation
- On the increasing convex order of generalized aggregation of dependent random variables
- Management of a capital stock by Strotz's naive planner
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Allocations of policy limits and ordering relations for aggregate remaining claims
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