Tail Moments of Compound Distributions

DOI10.1080/10920277.2021.1956975OpenAlexW3202357034MaRDI QIDQ5043474FDOQ5043474

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

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.

Mathematics Subject Classification ID

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

Cites Work

• Risk capital decomposition for a multivariate dependent gamma portfolio
• Recursions for Convolutions and Compound Distributions with Insurance Applications
• Title not available (Why is that?)
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Weighted premium calculation principles
• Panjer recursion versus FFT for compound distributions
• A multivariate tail covariance measure for elliptical distributions
• Loss models. From data to decisions
• Size-biased risk measures of compound sums
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
• Jiandong Ren's Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

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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