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Size-biased risk measures of compound sums

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  • Denuit, Michel

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  • Denuit, Michel, 2019. "Size-biased risk measures of compound sums," LIDAM Discussion Papers ISBA 2019009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2019009
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    References listed on IDEAS

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    1. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    2. Rob Kaas & Marc Goovaerts & Jan Dhaene & Michel Denuit, 2008. "Modern Actuarial Risk Theory," Springer Books, Springer, edition 2, number 978-3-540-70998-5, October.
    3. Denuit, Michel M. & Mesfioui, Mhamed, 2017. "Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 1-5.
    4. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    5. Furman, Edward & Landsman, Zinoviy, 2005. "Risk capital decomposition for a multivariate dependent gamma portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 635-649, December.
    6. Bartoszewicz, Jaroslaw & Skolimowska, Magdalena, 2006. "Preservation of classes of life distributions and stochastic orders under weighting," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 587-596, March.
    7. Guo, Xu & Li, Jingyuan & Liu, Dongri & Wang, Jianli, 2016. "Preserving the Rothschild–Stiglitz type of increasing risk with background risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 144-149.
    8. Denuit, Michel & Mesfioui, Mhamed, 2017. "Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization," LIDAM Reprints ISBA 2017002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Joseph H. T. Kim & Jiwook Jang & Chaehyun Pyun, 2019. "Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach," North American Actuarial Journal, Taylor & Francis Journals, vol. 23(1), pages 82-97, January.
    10. Furman, Edward & Landsman, Zinoviy, 2008. "Economic Capital Allocations for Non-negative Portfolios of Dependent Risks," ASTIN Bulletin, Cambridge University Press, vol. 38(2), pages 601-619, November.
    11. Edward Furman & Ričardas Zitikis, 2009. "Weighted Pricing Functionals With Applications to Insurance," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(4), pages 483-496.
    12. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 459-465, February.
    13. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.
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    Cited by:

    1. Denuit, Michel, 2019. "Investing in your own and peers' risks: The simple analytics of p2p insurance," LIDAM Discussion Papers ISBA 2019028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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