Publication:5461830

Rob Kaas, Jan Dhaene, Marc J. Goovaerts, Michel M. Denuit

Publication date: 27 July 2005

62P05: Applications of statistics to actuarial sciences and financial mathematics

62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance

Related Items

Non-exponential bounds for stop-loss premiums and ruin probabilities, Economic Capital Allocation Derived from Risk Measures, Contaminated Exponential Dispersion Loss Models, Nonparametric two-sample tests for increasing convex order, A goodness-of-fit test for bivariate extreme-value copulas, Worst case risk measurement: back to the future?, An optimization approach to the dynamic allocation of economic capital, Modeling of an insurance system and its large deviations analysis, Finite-time ruin probabilities for discrete, possibly dependent, claim severities, How retention levels influence the variability of the total risk under reinsurance, Recursions for the individual risk model, A stop-loss risk index, Random sums of exchangeable variables and actuarial applications, Some new classes of consistent risk measures, Time consistency conditions for acceptability measures, with an application to tail value at risk, A claims persistence process and insurance, The concept of comonotonicity in actuarial science and finance: applications., On market value margins and cost of capital, On Markov-Pólya Distribution and the Katz Family of Distributions, Multidimensional Insurance Model with Risk-Reducing Treaty, Mixture Utility in General Insurance, Nonparametric analysis of aggregate loss models, Risk Measures and Comonotonicity: A Review, Copulas: A Review and Recent Developments, Ruin probabilities and aggregrate claims distributions for shot noise Cox processes, Domains of attraction of the random vector (X, X ²) and applications, Inverse Stochastic Dominance, Majorization, and Mean Order Statistics, On finite-time ruin probabilities for classical risk models