[图书][B] Actuarial theory for dependent risks: measures, orders and models
The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …
interest amongst actuaries in the modelling of dependent risks. For efficient risk …
Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures
We propose practical solutions for the determination of optimal retentions in a stop-loss
reinsurance. We develop two new optimization criteria for deriving the optimal retentions by …
reinsurance. We develop two new optimization criteria for deriving the optimal retentions by …
[图书][B] Extreme financial risks: From dependence to risk management
Y Malevergne, D Sornette - 2006 - books.google.com
Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …
management, require knowledge of the likely distributions of returns at different time scales …
[图书][B] Resource allocation in project management
C Schwindt - 2005 - Springer
Around 1980, recursions for aggregate claims distributions started receiving attention in the
actuarial literature. Two common ways of modelling such distributions are as compound …
actuarial literature. Two common ways of modelling such distributions are as compound …
[图书][B] Recursions for convolutions and compound distributions with insurance applications
B Sundt, R Vernic - 2009 - books.google.com
Since 1980, methods for recursive evaluation of aggregate claims distributions have
received extensive attention in the actuarial literature. This book gives a unified survey of the …
received extensive attention in the actuarial literature. This book gives a unified survey of the …
[图书][B] Cyber risk: too big to insure? Risk transfer options for a mercurial risk class
M Eling, JH Wirfs - 2016 - econstor.eu
This study is the first systematic discussion of potential risk transfer options for cyber risks.
We compare several risk transfer options, including insurance, reinsurance and alternative …
We compare several risk transfer options, including insurance, reinsurance and alternative …
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
In this paper, we consider a portfolio of n dependent risks X1,…, Xn and we study the
stochastic behavior of the aggregate claim amount S= X1+⋯+ Xn. Our objective is to …
stochastic behavior of the aggregate claim amount S= X1+⋯+ Xn. Our objective is to …
Multivariate insurance models: an overview
S Anastasiadis, S Chukova - Insurance: Mathematics and Economics, 2012 - Elsevier
Multivariate insurance models: An overview - ScienceDirect Skip to main contentSkip to article
Elsevier logo Journals & Books Search RegisterSign in View PDF Download full issue Search …
Elsevier logo Journals & Books Search RegisterSign in View PDF Download full issue Search …
Natural catastrophe insurance: How should the government intervene?
A Charpentier, B Le Maux - Journal of Public Economics, 2014 - Elsevier
This paper develops a theoretical framework for analyzing the decision to provide or buy
insurance against the risk of natural catastrophes. In contrast to conventional models of …
insurance against the risk of natural catastrophes. In contrast to conventional models of …
Claim dependence with common effects in credibility models
Several credibility models found in published literature have largely been single
dimensional in the sense that the observable claims are derived from a single individual risk …
dimensional in the sense that the observable claims are derived from a single individual risk …