scientific article; zbMATH DE number 1128584
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- “Understanding Relationships Using Copulas,” Edward Frees and Emiliano Valdez, January 1998
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- Modelling losses using an exponential-inverse Gaussian distribution
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- Kernel density estimation of actuarial loss functions
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- On two dependent individual risk models.
- The beta Burr III model for lifetime data
- Precise large deviations for negatively associated random variables with consistently varying tails
- The asymptotic behavior of a Brownian motion with a drift from a random domain
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- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
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- Empirical Estimation of Risk Measures and Related Quantities
- Modelling catastrophe claims with left-truncated severity distributions
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- Testing hypotheses about the equality of several risk measure values with applications in insurance
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- Fractional discrete processes: compound and mixed Poisson representations
- Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
- Semi-parametric specification tests for mixing distributions
- Recursive evaluation of aggregate claims distributions.
- Ruin theory in a financial corporation model with credit risk.
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- Equity and Credibility
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- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
- Fitting bivariate cumulative returns with copulas
- Second-order minimax estimation of the mean value for exponential dispersion models
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- The discrete-time risk model with correlated classes of business
- Joint probability generating function for a vector of arbitrary indicator variables
- The Esscher premium principle in risk theory: A Bayesian sensitivity study
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
- Sequential credibility evaluation for symmetric location claim distributions
- Influence functions of empirical nonparametric estimators of net reinsurance premiums
- Optimal Dividends
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- Subjective risk measures: Bayesian predictive scenarios analysis
- On robustness in risk theory
- Impact of dependence among multiple claims in a single loss
- On asymptotic optimality in empirical Bayes credibility.
- Credibility Using Copulas
- A longitudinal data analysis interpretation of credibility models
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