BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL

DOI10.1017/asb.2017.20zbMath1390.91183arXiv1607.02623OpenAlexW3125085132MaRDI QIDQ4563819

Ričardas Zitikis, Edward Furman

Publication date: 4 June 2018

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

Full work available at URL: https://arxiv.org/abs/1607.02623

zbMATH Keywords

capital asset pricing modelPearson correlationbivariate distributionsweighted insurance pricing modelweighted Gini correlation

Mathematics Subject Classification ID

Related Items (8)

Two symmetric and computationally efficient Gini correlations ⋮ CMPH: a multivariate phase-type aggregate loss distribution ⋮ A unified approach to constructing correlation coefficients between random variables ⋮ Statistical foundations for assessing the difference between the classical and weighted-Gini betas ⋮ Generalized Gini linear and quadratic discriminant analyses ⋮ Principal component analysis: a generalized Gini approach ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ Non-parametric inference for Gini covariance and its variants

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On quantifying dependence: a framework for developing interpretable measures
• Ordering Gini indexes of multivariate elliptical risks
• Background risk models and stepwise portfolio construction
• Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis
• Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
• An introduction to copulas.
• Advances in prospect theory: cumulative representation of uncertainty
• Risk capital allocation and cooperative pricing of insurance liabilities.
• On the covariance between functions
• A Gini-based unit root test
• The Gini methodology. A primer on a statistical methodology.
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Gini indices as areas and covariances: what is the difference between the two representations?
• A contribution to multivariate L-moments: L-comoment matrices
• Mathematical Risk Analysis
• On the optimal risk allocation problem
• A Gini Autocovariance Function for Time Series Modelling
• Prospect Theory
• TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE
• A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT
• Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
• The Asymptotic Distribution of the S–Gini Index
• Robust and Efficient Fitting of Loss Models
• Weighted Pricing Functionals With Applications to Insurance
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Some Concepts of Dependence
• Loss Models
• Stochastic finance. An introduction in discrete time

This page was built for publication: BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL