COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY

DOI10.1017/asb.2017.4zbMath1390.91196OpenAlexW3123741628MaRDI QIDQ4563797

Haiyan Liu, Ruodu Wang

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2017.4

zbMATH Keywords

value-at-riskcollective risk modelexpected shortfallasymptotic equivalencedependence uncertainty

Mathematics Subject Classification ID

Related Items (9)

Convex risk measures for the aggregation of multiple information sources and applications in insurance ⋮ Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims ⋮ Collective risk models with dependence ⋮ Worst-case moments under partial ambiguity ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ A multi-year microlevel collective risk model ⋮ Bonus-Malus premiums under the dependent frequency-severity modeling ⋮ A copula transformation in multivariate mixed discrete-continuous models ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• VaR bounds for joint portfolios with dependence constraints
• Stochastic orders
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Inequalities for distributions with given marginals
• The concept of comonotonicity in actuarial science and finance: theory.
• Extremal dependence concepts
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Reducing risk by merging counter-monotonic risks
• Risk aggregation with dependence uncertainty
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Extreme negative dependence and risk aggregation
• Reducing model risk via positive and negative dependence assumptions
• Risk bounds for factor models
• Computation of sharp bounds on the distribution of a function of dependent risks
• Mathematical Risk Analysis
• How Superadditive Can a Risk Measure Be?
• Robustness and sensitivity analysis of risk measurement procedures
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• General convex order on risk aggregation
• Reduction of Value-at-Risk bounds via independence and variance information
• A note on deficit analysis in dependency models involving Coxian claim amounts
• ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
• On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
• Stochastic finance. An introduction in discrete time

This page was built for publication: COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY