Tail Moments of Compound Distributions

DOI10.1080/10920277.2021.1956975MaRDI QIDQ5043474zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Conditional Tail Moments of the Exponential Family and Its Related Distributions
• EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
• Moments of a class of compound distributions
• Computing moments of compound distributions
• Some recursions for moments of compound distributions.

Cites work

• A multivariate tail covariance measure for elliptical distributions
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
• scientific article; zbMATH DE number 3644314 (Why is no real title available?)
• Jiandong Ren's Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
• Loss models. From data to decisions
• Panjer recursion versus FFT for compound distributions
• Recursions for Convolutions and Compound Distributions with Insurance Applications
• Risk capital decomposition for a multivariate dependent gamma portfolio
• Size-biased risk measures of compound sums
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Weighted premium calculation principles

Cited in

(4)

• The moments and central moments of a compound distribution
• Conditional Tail Moments of the Exponential Family and Its Related Distributions
• EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
• Tail moments and tail joint moments for multivariate generalized hyperbolic distribution

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