Weighted risk capital allocations

DOI10.1016/j.insmatheco.2008.07.003zbMath1189.62163OpenAlexW3123257427MaRDI QIDQ974815

Publication date: 8 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.07.003

zbMATH Keywords

regression function weighted distributions Stein's lemma general covariance decomposition weighted allocations weighted premiums weighted risk capital allocation model (WRCAM)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

An impossibility theorem on capital allocation, Grammar-Based Tree Compression, A New Class of Credibility Estimators Under the Generalized Weighted Premium Principle, CMPH: a multivariate phase-type aggregate loss distribution, Background risk models and stepwise portfolio construction, Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses, 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, Multivariate matrix-exponential affine mixtures and their applications in risk theory, Multiple risk factor dependence structures: distributional properties, Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation, Spurious regression, Estimating the conditional tail expectation in the case of heavy-tailed losses, Risk aggregation and capital allocation using a new generalized Archimedean copula, The cumulative quantile regression function with censored and truncated covariate, Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits, Pareto-optimal insurance with an upper limit on the insurer's exposure, Stochastic comparisons of capital allocations with applications, Holistic principle for risk aggregation and capital allocation, Excess based allocation of risk capital, Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications, Composing the cumulative quantile regression function and the Goldie concentration curve, Optimal capital allocation for individual risk model using a mean-variance principle, Statistical foundations for assessing the difference between the classical and weighted-Gini betas, Optimal insurance under maxmin expected utility, An asymptotic characterization of hidden tail credit risk with actuarial applications, Grüss-type bounds for covariances and the notion of quadrant dependence in expectation, Asymptotics for risk capital allocations based on conditional tail expectation, Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses, On an optimization problem related to static super-replicating strategies, On a multivariate Pareto distribution, Multivariate Tweedie distributions and some related capital-at-risk analyses, A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES, LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING, Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure, Functional characterizations of bivariate weak SAI with an application, The cumulative quantile regression function with censored and truncated response, Weighted risk capital allocations in the presence of systematic risk, An approximation method for risk aggregations and capital allocation rules based on additive risk factor models, Determining and Allocating Diversification Benefits for a Portfolio of Risks, General Stein-Type Covariance Decompositions with Applications to Insurance and Finance, Forecasting compositional risk allocations, Grüss-type bounds for the covariance of transformed random variables, Capital Allocation Using the Bootstrap, ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE, Optimal capital allocation based on the tail mean-variance model, Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution, Stochastic orders in time transformed exponential models with applications, Optimal capital allocations to interdependent actuarial risks, Optimal capital allocation in a hierarchical corporate structure, Agricultural Insurance Ratemaking: Development of a New Premium Principle, Budget-constrained optimal retention with an upper limit on the retained loss, On log-normal convolutions: an analytical-numerical method with applications to economic capital determination, Polynomial extensions of distributions and their applications in actuarial and financial modeling, A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited, SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES, Size-Biased Risk Measures of Compound Sums, Weighted allocations, their concomitant-based estimators, and asymptotics, Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management, On the increasing convex order of generalized aggregation of dependent random variables, Empirical tail conditional allocation and its consistency under minimal assumptions, Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment, Weighted Pricing Functionals With Applications to Insurance

Cites Work