Stochastic orders in reliability and risk
In summer of 2010, the first author (HL) visited the second author (XL) at Lanzhou University,
China, and chaired the dissertation defense for XL's two graduating doctoral students …
China, and chaired the dissertation defense for XL's two graduating doctoral students …
Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation
In this paper, we investigate risk aggregation and capital allocation problems for a portfolio
of possibly dependent risks whose multivariate distribution is defined with the Farlie …
of possibly dependent risks whose multivariate distribution is defined with the Farlie …
Risk aggregation with FGM copulas
C Blier-Wong, H Cossette, E Marceau - Insurance: Mathematics and …, 2023 - Elsevier
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we
discover new results and revisit existing ones, providing simpler formulas than one can find …
discover new results and revisit existing ones, providing simpler formulas than one can find …
Risk allocation through shapley decompositions, with applications to variable annuities
F Godin, E Hamel, P Gaillardetz… - ASTIN Bulletin: The Journal …, 2023 - cambridge.org
This paper introduces a flexible risk decomposition method for life insurance contracts
embedding several risk factors. Hedging can be naturally embedded in the framework …
embedding several risk factors. Hedging can be naturally embedded in the framework …
Forecasting compositional risk allocations
We analyse models for panel data that arise in risk allocation problems, when a given set of
sources are the cause of an aggregate risk value. We focus on the modelling and …
sources are the cause of an aggregate risk value. We focus on the modelling and …
On some properties of a class of multivariate Erlang mixtures with insurance applications
GE Willmot, JK Woo - ASTIN Bulletin: The Journal of the IAA, 2015 - cambridge.org
We discuss some properties of a class of multivariate mixed Erlang distributions with
different scale parameters and describes various distributional properties related to …
different scale parameters and describes various distributional properties related to …
GlueVaR risk measures in capital allocation applications
GlueVaR risk measures defined by Belles-Sampera et al.(2014) generalize the traditional
quantile-based approach to risk measurement, while a subfamily of these risk measures has …
quantile-based approach to risk measurement, while a subfamily of these risk measures has …
Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions
JHT Kim, SY Kim - Insurance: Mathematics and Economics, 2019 - Elsevier
Abstract The Conditional Tail Expectation (CTE), also known as the Expected Shortfall and
Tail-VaR, has received much attention as a preferred risk measure in finance and insurance …
Tail-VaR, has received much attention as a preferred risk measure in finance and insurance …
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
In this paper, we extend the concept of tail subadditivity (Belles-Sampera et al., 2014a;
Belles-Sampera et al., 2014b) for distortion risk measures and give sufficient and necessary …
Belles-Sampera et al., 2014b) for distortion risk measures and give sufficient and necessary …
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
Risk capital allocations (RCAs) are an important tool in quantitative risk management, where
they are utilized to, eg, gauge the profitability of distinct business units, determine the price …
they are utilized to, eg, gauge the profitability of distinct business units, determine the price …