AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS

DOI10.1017/S0269964817000377MaRDI QIDQ5050856zbMATH OpenOpenAlexFDO

Authors Xiao Jiang, Saralees Nadarajah, Jeffrey Chu

Publication date 18 November 2022

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964817000377

zbMATH Keywords

closed formrisksum

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

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• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• On construction of general classes of bivariate distributions
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
• Risk capital decomposition for a multivariate dependent gamma portfolio
• Some results on the CTE-based capital allocation rule
• Tail Conditional Expectations for Elliptical Distributions
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
• TVaR-based capital allocation with copulas

Cited in

(3)

• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
• Capital allocation for Sarmanov's class of distributions
• Pexider's equation and aggregation of allocations

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