EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES

DOI10.1017/asb.2022.14OpenAlexW4285591971MaRDI QIDQ5045343

Jiandong Ren, Wenjun Jiang

Publication date: 4 November 2022

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

Full work available at URL: https://doi.org/10.1017/asb.2022.14

zbMATH Keywords

compound distributionrisk measuresweighted distributionscapital allocationdependence modelingmoment transform

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

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