Traditional insurance is based on a centralized approach of risk transfer from the insureds to
an insurer. A traditional insurance contract is a bilateral contract between an insured and an …

Risk aggregation and capital allocation are of paramount importance in business, as they
play critical roles in pricing, risk management, project financing, performance management …

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 …

In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-
exponential marginals is proposed. The class is shown to possess various attractive …

The capital allocation framework presents capital allocation principles as solutions to
particular optimisation problems and provides a general solution of the quadratic allocation …

Under minimal assumptions, we prove that an empirical estimator of the tail conditional
allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are …

Multivariate loss distributions have been a staple of actuarial work. This paper aims to put
forth a versatile class of multivariate mixtures of gamma distributions tailored for actuarial …

Tail-correlation matrices are an important tool for aggregating risk measurements across risk
categories, asset classes and/or business segments. This paper demonstrates that …

The remarkable development of today's financial and insurance products demands sound
methodologies for the accumulation and characterization of intertwined risks. As a result …

The ratemaking algorithms used to calculate class factors, territory factors, allocations of rate
changes to coverages and other types of rating values often require either an off-balance …