Tail Moments of Compound Distributions

DOI10.1080/10920277.2021.1956975OpenAlexW3202357034MaRDI QIDQ5043474

Jiandong Ren

Publication date: 6 October 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2021.1956975

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES

Cites Work

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• Risk capital decomposition for a multivariate dependent gamma portfolio
• Weighted premium calculation principles
• Panjer recursion versus FFT for compound distributions
• A multivariate tail covariance measure for elliptical distributions
• Recursions for Convolutions and Compound Distributions with Insurance Applications
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Loss Models
• Size-Biased Risk Measures of Compound Sums
• Jiandong Ren's Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach

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