IDEAS home Printed from https://ideas.repec.org/r/eee/insuma/v45y2009i3p348-361.html
   My bibliography  Save this item

TVaR-based capital allocation with copulas

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Gijbels, Irène & Sznajder, Dominik, 2013. "Testing tail monotonicity by constrained copula estimation," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 338-351.
  2. Giuseppe Arbia & Riccardo Bramante & Silvia Facchinetti, 2020. "Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis," Risks, MDPI, vol. 8(3), pages 1-14, September.
  3. Cossette, Hélène & Landriault, David & Marceau, Etienne & Moutanabbir, Khouzeima, 2012. "Analysis of the discounted sum of ascending ladder heights," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 393-401.
  4. Li, Jinzhu, 2022. "Asymptotic results on marginal expected shortfalls for dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 146-168.
  5. Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
  6. Cossette, Hélène & Marceau, Etienne & Perreault, Samuel, 2015. "On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 214-224.
  7. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
  8. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2017. "Reserve modelling and the aggregation of risks using time varying copula models," Economic Modelling, Elsevier, vol. 67(C), pages 149-158.
  9. Denuit, Michel & Lu, Yang, 2020. "Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving," LIDAM Discussion Papers ISBA 2020016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  10. Michel Denuit & Yang Lu, 2021. "Wishart‐gamma random effects models with applications to nonlife insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 443-481, June.
  11. Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima, 2013. "Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 560-572.
  12. Gareth W. Peters & Rodrigo S. Targino & Mario V. Wüthrich, 2017. "Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks," Risks, MDPI, vol. 5(4), pages 1-51, September.
  13. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre, 2019. "Collective risk models with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 153-168.
  14. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry, 2018. "Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 53-71.
  15. Anas Abdallah & Lan Wang, 2023. "Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves," Risks, MDPI, vol. 11(11), pages 1-37, October.
  16. Catalina Bolancé & Montserrat Guillén & Alemar Padilla, 2015. "Estimación del riesgo mediante el ajuste de cópulas," Working Papers 2015-01, Universitat de Barcelona, UB Riskcenter.
  17. Cheung, Ka Chun & Phillip Yam, Sheung Chi & Yuen, Fei Lung & Zhang, Yiying, 2020. "Concave distortion risk minimizing reinsurance design under adverse selection," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 155-165.
  18. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2023. "Risk aggregation with FGM copulas," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 102-120.
  19. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Impact of Dependence on Some Multivariate Risk Indicators," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 395-427, June.
  20. Vernic, Raluca, 2018. "On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 184-193.
  21. Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
  22. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
  23. Das Bikramjit & Fasen-Hartmann Vicky, 2019. "Conditional excess risk measures and multivariate regular variation," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 1-23, December.
  24. Ren Jiandong & Zitikis Ricardas, 2017. "CMPH: a multivariate phase-type aggregate loss distribution," Dependence Modeling, De Gruyter, vol. 5(1), pages 304-315, December.
  25. Abbas Mahdavi & Omid Kharazmi & Javier E. Contreras-Reyes, 2022. "On the Contaminated Weighted Exponential Distribution: Applications to Modeling Insurance Claim Data," JRFM, MDPI, vol. 15(11), pages 1-18, October.
  26. Ji, Liuyan & Tan, Ken Seng & Yang, Fan, 2021. "Tail dependence and heavy tailedness in extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 282-293.
  27. Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
  28. H'el`ene Cossette & Benjamin C^ot'e & Alexandre Dubeau & Etienne Marceau, 2024. "Risk models from tree-structured Markov random fields following multivariate Poisson distributions," Papers 2412.00607, arXiv.org.
  29. Raluca Vernic, 2017. "Capital Allocation for Sarmanov’s Class of Distributions," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 311-330, March.
  30. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171, arXiv.org.
  31. Willmot, Gordon E. & Woo, Jae-Kyung, 2012. "On the analysis of a general class of dependent risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 134-141.
  32. Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
  33. Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing, 2023. "A Weissman-type estimator of the conditional marginal expected shortfall," Econometrics and Statistics, Elsevier, vol. 27(C), pages 173-196.
  34. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
  35. Elena Di Bernardino & Clémentine Prieur, 2014. "Estimation of multivariate conditional-tail-expectation using Kendall's process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 241-267, June.
  36. repec:hal:wpaper:hal-01171395 is not listed on IDEAS
  37. Cossette, Hélène & Côté, Marie-Pier & Mailhot, Mélina & Marceau, Etienne, 2014. "A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 1-20.
  38. Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
  39. 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.
  40. Raluca Vernic, 2016. "On the Distribution of a Sum of Sarmanov Distributed Random Variables," Journal of Theoretical Probability, Springer, vol. 29(1), pages 118-142, March.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.