Permutation monotone functions of random vectors with applications in financial and actuarial risk management
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Cites work
- A note on allocation of portfolio shares of random assets with Archimedean copula
- A probabilistic interpretation of complete monotonicity
- An introduction to copulas.
- An optimization approach to the dynamic allocation of economic capital
- Asset proportions in optimal portfolios with dependent default risks
- Comparison methods for stochastic models and risks
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Demand for risky financial assets: A portfolio analysis
- Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
- Dynamic capital allocation with distortion risk measures
- Families of Multivariate Distributions
- Functions decreasing in transposition and their applications in ranking problems
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- Inequalities: theory of majorization and its applications
- Moment and geometric probability inequalities arising from arrangement increasing functions
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate arrangement increasing functions with applications in probability and statistics
- Optimal allocation of policy limits and deductibles
- Optimal allocation of policy limits and deductibles under distortion risk measures
- Optimal portfolio problem with unknown dependency structure
- Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Relationships Among Some Concepts of Bivariate Dependence
- Risk Measures and Comonotonicity: A Review
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Stochastic comparisons for allocations of policy limits and deductibles with applications
- Stochastic comparisons of capital allocations with applications
- Stochastic orders of scalar products with applications
- Tail Conditional Expectations for Elliptical Distributions
- The Use of Archimedean Copulas to Model Portfolio Allocations
- To split or not to split: Capital allocation with convex risk measures
- Weighted risk capital allocations
- Worst allocations of policy limits and deductibles
Cited in
(29)- On capital allocation for stochastic arrangement increasing actuarial risks
- Arrangement increasing resource allocation
- Ordering optimal deductible allocations for stochastic arrangement increasing risks
- Preservation of weak stochastic arrangement increasing under fixed time left-censoring
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Preservation of weak SAI's under increasing transformations with applications
- On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes
- Monotone tail functions: definitions, properties, and application to risk-reducing strategies
- On asset allocation for a threshold model with dependent returns
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- Joint stochastic orders of high degrees and their applications in portfolio selections
- Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns
- On active redundancy allocation for coherent systems -- from the viewpoint of minimal cut decomposition
- Sufficient conditions for ordering aggregate heterogeneous random claim amounts
- Ordering scalar products with applications in financial engineering and actuarial science
- On allocations to portfolios of assets with statistically dependent potential risk returns
- Increasing convex order on generalized aggregation of SAI random variables with applications
- Functional characterizations of bivariate weak SAI with an application
- Residual stochastic precedence order
- Ordering results for individual risk model with dependent Location-Scale claim severities
- A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property
- Ordering k-out-of-n systems with interdependent components and one active redundancy
- ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES
- Comparison of hazard rates for dependent random variables
- Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes
- On allocating redundancies to k-out-of-n reliability systems
- Increasing convex order of capital allocation with dependent assets under threshold model
- Stochastic arrangement increasing property of skew-normal distributions
- On coverage limits and deductibles for SAI loss severities
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