The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk
management and in many branches of applied probability. In this paper, we obtain analytic …

The study of the distributions of sums of dependent risks is a key topic in actuarial sciences,
risk management, reliability and in many branches of applied and theoretical probability …

In this paper we obtain closed expressions for the probability distribution function of
aggregated risks with multivariate dependent Pareto distributions. We work with the …

The general beta of the second kind distribution (GB2) is a flexible distribution which
includes several relevant parametric families of distributions. This distribution has important …

Many copula families, including the classes of Archimedean, elliptical and Liouville copulas,
may be written as the survival copula of a random vector R×(Y 1, Y 2), where R is a strictly …

This paper deals with the estimation of loss severity distributions arising from historical data
on univariate and multivariate losses. We present an innovative theoretical framework where …

Assuming the multiplicative background risk model, which has been a popular model due to
its practical applicability and technical tractability, we develop a general framework for …

In the current reality of prudent risk management, the problem of determining aggregate risk
capital in financial entities has been intensively studied. As a result, canonical methods have …

The purpose of this paper is to provide an extension to recent contributions in the field of
quantitative risk management by modeling non-life insurance risks in a multivariate …

The costs of operational risk refer to the capital needed to cover the losses generated by a
firm's ordinary activities. In this paper several capital allocation principles are examined to …