Found 149 Documents (Results 1–100)
Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns. (English) Zbl 1511.91115
Reviewer: Jonas Šiaulys (Vilnius)
Copula-based inference for bivariate survival data with left truncation and dependent censoring. (English) Zbl 1510.91143
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims. (English) Zbl 1484.91410
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 1460.91213
Economic neutral position: how to best replicate not fully replicable liabilities? (English) Zbl 1459.91161
MSC:
91G05
Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models. (English) Zbl 1452.91280
Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities. (English) Zbl 1447.91127
Modelling extreme claims via composite models and threshold selection methods. (English) Zbl 1435.91163
On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. (English) Zbl 1431.91327
Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions. (English) Zbl 1411.91293
Conditional tail risk measures for the skewed generalised hyperbolic family. (English) Zbl 1411.91510
Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution. (English) Zbl 1415.62077
A stochastic order for the analysis of investments affected by the time value of money. (English) Zbl 1417.91466
Copula approaches for modeling cross-sectional dependence of data breach losses. (English) Zbl 1416.91173
On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution. (English) Zbl 1401.62216
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (English) Zbl 1401.91218
MSC:
91B30
62P05
Weighted risk capital allocations in the presence of systematic risk. (English) Zbl 1401.91139
MSC:
91B30
From concentration profiles to concentration maps. New tools for the study of loss distributions. (English) Zbl 1398.91326
On a bivariate copula with both upper and lower full-range tail dependence. (English) Zbl 1397.62181
Confidence sets and confidence bands for a beta distribution with applications to credit risk management. (English) Zbl 1394.62057
On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation. (English) Zbl 1394.62145
Multiple risk factor dependence structures: copulas and related properties. (English) Zbl 1394.62149
On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays. (English) Zbl 1371.91110
Allocations of policy limits and ordering relations for aggregate remaining claims. (English) Zbl 1348.91174
On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. (English) Zbl 1348.91137
Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model. (English) Zbl 1348.91155
Stochastic comparison of aggregate claim amounts between two heterogeneous portfolios and its applications. (English) Zbl 1314.91188
Life insurance policy termination and survivorship. (English) Zbl 1304.62130
MSC:
62P05
91B30
On the multidimensional extension of countermonotonicity and its applications. (English) Zbl 1304.62086
Pricing currency derivatives with Markov-modulated Lévy dynamics. (English) Zbl 1403.91352
Reviewer: Iulian Stoleriu (Iaşi)
A note on multiple life premiums for dependent lifetimes. (English) Zbl 1304.91115
MSC:
91B30
Estimation of the parameters of a Markov-modulated loss process in insurance. (English) Zbl 1304.91109
Survival probabilities in bivariate risk models, with application to reinsurance. (English) Zbl 1290.91077
MSC:
91B30
60G40
Approximations of the tail probability of the product of dependent extremal random variables and applications. (English) Zbl 1284.60105
Tail variance premiums for log-elliptical distributions. (English) Zbl 1284.91247
MSC:
91B30
A characterization of optimal portfolios under the tail mean-variance criterion. (English) Zbl 1284.91528
MSC:
91G10
Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures. (English) Zbl 1284.60104
An adaptive premium policy with a Bayesian motivation in the classical risk model. (English) Zbl 1284.91246
MSC:
91B30
Multivariate longitudinal modeling of insurance company expenses. (English) Zbl 1284.91269
MSC:
91B30
62P05
Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure. (English) Zbl 1284.91257
Comparison of increasing directionally convex transformations of random vectors with a common copula. (English) Zbl 1239.60008
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. (English) Zbl 1235.91086
Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component. (English) Zbl 1235.91096
Second order regular variation and conditional tail expectation of multiple risks. (English) Zbl 1228.91039
Modeling of claim exceedances over random thresholds for related insurance portfolios. (English) Zbl 1228.91034
MSC:
91B30
62P05
A generalized beta copula with applications in modeling multivariate long-tailed data. (English) Zbl 1218.62049
Distributional analysis of a generalization of the Pólya process. (English) Zbl 1231.60077
MSC:
60J27
Multivariate Tweedie distributions and some related capital-at-risk analyses. (English) Zbl 1231.91185
Longevity bond premiums: the extreme value approach and risk cubic pricing. (English) Zbl 1231.91427
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (English) Zbl 1231.91461
Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view. (English) Zbl 1231.91148
A class of multivariate copulas with bivariate Fréchet marginal copulas. (English) Zbl 1231.91253
MSC:
91B30
62H05
Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times. (English) Zbl 1162.60339
Bounds and approximations for sums of dependent log-elliptical random variables. (English) Zbl 1162.91440
On the discrete-time compound renewal risk model with dependence. (English) Zbl 1167.91013
Reviewer: Pavel Stoynov (Sofia)
Modelling dynamic portfolio risk using risk drivers of elliptical processes. (English) Zbl 1163.91018
MSC:
91B30
Pair-copula constructions of multiple dependence. (English) Zbl 1165.60009
Reviewer: Pavel Stoynov (Sofia)
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness. (English) Zbl 1163.91431
MSC:
91B30
A priori ratemaking using bivariate Poisson regression models. (English) Zbl 1156.91400
MSC:
91B30
Some results on the CTE-based capital allocation rule. (English) Zbl 1152.91577
MSC:
91B30
Heavy-tailed longitudinal data modeling using copulas. (English) Zbl 1152.91605
MSC:
91B30
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