Multivariate Tweedie distributions and some related capital-at-risk analyses

DOI10.1016/j.insmatheco.2009.12.001zbMath1231.91185OpenAlexW3124598066MaRDI QIDQ659235

Zinoviy Landsman, Edward Furman

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.001

zbMATH Keywords

Cauchy's functional equationsexponential dispersion modelsmultivariate Tweedie familyrisk capital allocationsthe tail conditional expectation risk measure

Mathematics Subject Classification ID

Related Items (30)

Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ Simulations of full multivariate Tweedie with flexible dependence structure ⋮ Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ A special Tweedie sub-family with application to loss reserving prediction error ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ On some layer-based risk measures with applications to exponential dispersion models ⋮ Risk aggregation and capital allocation using a new generalized Archimedean copula ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ Tweedie multivariate semi-parametric credibility with the exchangeable correlation ⋮ Multivariate lifetime distributions for the exponential dispersion family ⋮ Extending the Thorin class ⋮ Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure ⋮ Construction of multivariate dispersion models ⋮ Characterization and classification of multiple stable Tweedie models ⋮ On a multivariate Pareto distribution ⋮ A multivariate Tweedie lifetime model: censoring and truncation ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ Capital allocation for Sarmanov's class of distributions ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ Some results on the CTE-based capital allocation rule ⋮ On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Intrinsic objective Bayesian estimation of the mean of the Tweedie family ⋮ Size-Biased Risk Measures of Compound Sums ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

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