Pages that link to "Item:Q659153"

The following pages link to TVaR-based capital allocation with copulas (Q659153):

Displaying 38 items.

• On the distribution of a sum of Sarmanov distributed random variables (Q270203) (← links)
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation (Q495473) (← links)
• Capital allocation for Sarmanov's class of distributions (Q518872) (← links)
• Properties of a risk measure derived from the expected area in red (Q743159) (← links)
• On multivariate extensions of conditional-tail-expectation (Q743166) (← links)
• Ruin-based risk measures in discrete-time risk models (Q784443) (← links)
• CMPH: a multivariate phase-type aggregate loss distribution (Q1648668) (← links)
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications (Q1697215) (← links)
• Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors (Q1711567) (← links)
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution (Q1742721) (← links)
• Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks (Q1753344) (← links)
• Tail dependence and heavy tailedness in extreme risks (Q2038251) (← links)
• On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence (Q2252703) (← links)
• A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks (Q2252881) (← links)
• Conditional excess risk measures and multivariate regular variation (Q2291755) (← links)
• Concave distortion risk minimizing reinsurance design under adverse selection (Q2306100) (← links)
• Rank-based methods for modeling dependence between loss triangles (Q2356636) (← links)
• Impact of dependence on some multivariate risk indicators (Q2397956) (← links)
• Collective risk models with dependence (Q2421408) (← links)
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830) (← links)
• Testing tail monotonicity by constrained copula estimation (Q2442534) (← links)
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (Q2443236) (← links)
• On the analysis of a general class of dependent risk processes (Q2444713) (← links)
• Analysis of the discounted sum of ascending ladder heights (Q2445351) (← links)
• Simple risk measure calculations for sums of positive random variables (Q2446008) (← links)
• Capital allocation based on the tail covariance premium adjusted (Q2513449) (← links)
• Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
• Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence (Q4559325) (← links)
• ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (Q4563733) (← links)
• AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS (Q5050856) (← links)
• Risk models based on copulas for premiums and claim sizes (Q5079939) (← links)
• ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS (Q5214826) (← links)
• Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study (Q5416442) (← links)
• Estimation of multivariate conditional-tail-expectation using Kendall's process (Q5419464) (← links)
• MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION (Q5866183) (← links)
• Risk aggregation with FGM copulas (Q6171947) (← links)
• Asymptotic results on tail moment and tail central moment for dependent risks (Q6198065) (← links)
• A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions (Q6200934) (← links)