Found 63 Documents (Results 1–63)
Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (English) Zbl 07760921
MSC:
90Bxx
Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses. (English) Zbl 1524.62519
A concept of copula robustness and its applications in quantitative risk management. (English) Zbl 1498.91509
Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability. (English) Zbl 1475.91286
MSC:
91G05
Optimal risk allocation in reinsurance networks. (English) Zbl 1416.91155
MSC:
91B30
60E15
Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks. (English) Zbl 1394.62050
Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals. (English) Zbl 1338.62073
Insights to systematic risk and diversification across a joint probability distribution. (English) Zbl 1348.91136
MSC:
91B30
91G70
GlueVaR risk measures in capital allocation applications. (English) Zbl 1304.91092
MSC:
91G70
91B30
On inequalities for moments and the covariance of monotone functions. (English) Zbl 1296.60046
MSC:
60E15
91B30
The connection between distortion risk measures and ordered weighted averaging operators. (English) Zbl 1284.91204
Bi-cooperative games with fuzzy bi-coalitions. (English) Zbl 1251.91009
MSC:
91A12
Asymptotics for statistical functionals of long-memory sequences. (English) Zbl 1250.62023
Reviewer: Neville Weber (Sydney)
Sensitivity of risk measures with respect to the normal approximation of total claim distributions. (English) Zbl 1228.91040
MSC:
91B30
Rates of almost sure convergence of plug-in estimates for distortion risk measures. (English) Zbl 1234.62138
Comonotonic convex upper bound and majorization. (English) Zbl 1231.91161
MSC:
91B30
60E15
A modified functional delta method and its application to the estimation of risk functionals. (English) Zbl 1213.62055
Reviewer: Erich Häusler (Gießen)
Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders. (English) Zbl 1231.91237
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios. (English) Zbl 1155.91387
MSC:
91B28
90C05
Some limiting properties of the bounds of the present value function of a life insurance portfolio. (English) Zbl 1130.62106
Risk measures and comonotonicity: a review. (English) Zbl 1159.91403
MSC:
91B30
A new characterization of distortion premiums via countable additivity for comonotonic risks. (English) Zbl 1132.91019
MSC:
91B30
Joint probability generating function for a vector of arbitrary indicator variables. (English) Zbl 1077.60503
Approximations for stop-loss reinsurance premiums. (English) Zbl 1110.62147
MSC:
62P05
91B30
Stochastic bounds for discrete-time claim processes with correlated risks. (English) Zbl 1114.62111
Reviewer: N. M. Zinchenko (Kyïv)
Ordering optimal proportions in the asset allocation problem with dependent default risks. (English) Zbl 1117.91347
Conditional comonotonicity. (English) Zbl 1063.60002
Reviewer: Nicko G. Gamkrelidze (Moskva)
Dynamic capital allocation with distortion risk measures. (English) Zbl 1103.91316
MSC:
91A12
91B30
Generalized correlation order and stop-loss order. (English) Zbl 1283.91088
MSC:
91B30
62P05
The hurdle-race problem. (English) Zbl 1103.91353
MSC:
91B28
91B82
Choquet pricing and equilibrium. (English) Zbl 1055.91045
MSC:
91B30
91B28
Comonotonic processes. (English) Zbl 1028.60089
MSC:
60J99
91B28
Compound Poisson approximations for individual models with dependent risks. (English) Zbl 1055.91050
MSC:
91B30
60G35
On two dependent individual risk models. (English) Zbl 1055.91044
MSC:
91B30
62P05
Upper stop-loss bounds for sums of possibly dependent risks with given means and variances. (English) Zbl 1007.91028
Reviewer: Gheorghe Stoica (Saint John)
MSC:
91B30
Does positive dependence between individual risks increase stop-loss premiums? (English) Zbl 1055.91046
MSC:
91B30
Coherent risk measures. (English) Zbl 1320.91066
MSC:
91B30
62P05
Upper and lower bounds for sums of random variables. (English) Zbl 0989.60019
Reviewer: Gheorghe Stoica (Saint John)
MSC:
60E15
91B28
An easy computable upper bound for the price of an arithmetic Asian option. (English) Zbl 0964.91021
Reviewer: Martin Schweizer (Berlin)
Optimal insurance under Wang’s premium principle. (English) Zbl 1156.62364
MSC:
62P05
91B30
The safest dependence structure among risks. (English) Zbl 1072.62651
MSC:
62P05
91B30
Supermodular ordering and stochastic annuities. (English) Zbl 0942.60008
Reviewer: Peter Bank (Berlin)
Stop-loss premiums under dependence. (English) Zbl 0945.62108
MSC:
62P05
Filter Results by …
all
top 5
Author
- Dhaene, Jan (10)
- Zähle, Henryk (7)
- Goovaerts, Marc J. (6)
- Kaas, Rob (5)
- Denuit, Michel M. (4)
- Marceau, Étienne (4)
- Belles-Sampera, Jaume (3)
- Beutner, Eric (3)
- Cheung, Ka Chun (3)
- Guillen, Montserrat (3)
- Santolino, Miguel (3)
- Vanduffel, Steven (3)
- Albers, Willem (2)
- Cossette, Hélène (2)
- De Waegenaere, Anja (2)
- Genest, Christian (2)
- Jouini, Elyès (2)
- Mesfioui, Mhamed (2)
- Napp, Clotilde (2)
- Vyncke, David (2)
- Bäuerle, Nicole (1)
- Boonen, Tim J. (1)
- Borkotokey, Surajit (1)
- Chen, Xinliang (1)
- Chen, Zengjing (1)
- Choo, Weihao (1)
- de Jong, Piet (1)
- Deelstra, Griselda (1)
- Delbaen, Freddy (1)
- Duchesne, Thierry (1)
- Dulac, Guillaume (1)
- Dyckerhoff, Rainer (1)
- Embrechts, Paul (1)
- Fiori, Anna Maria (1)
- Fuchs, Sebastian L. (1)
- Gaillardetz, Patrice (1)
- Gamboa, Fabrice (1)
- Garivier, Aurélien (1)
- Glauner, Alexander (1)
- Heilpern, Stanisław (1)
- Horta, Eduardo (1)
- Iooss, Bertrand (1)
- Kallenberg, Wilbert C. M. (1)
- Kast, Robert (1)
- Kolev, Nikolai (1)
- Kolkovska, Ekaterina Todorova (1)
- Kratschmer, Volker (1)
- Kulperger, Reg J. (1)
- Labopin-Richard, Tatiana (1)
- Laeven, Roger J. A. (1)
- Lapied, André (1)
- Lauer, Alexandra (1)
- Laurence, Peter (1)
- Lillo, Rosa Elvira (1)
- Lin, Zhengyan (1)
- Liu, Jie (1)
- Liu, Shuang (1)
- López-Mimbela, José Alfredo (1)
- Lu, Tongyu (1)
- Merigó, José M. (1)
- Moresco, Marlon Ruoso (1)
- Mosler, Karl Clemens (1)
- Nelsen, Roger B. (1)
- Pichler, Alois (1)
- Reijnen, Rajko (1)
- Ribas, Carmen (1)
- Righi, Marcelo Brutti (1)
- Rioux, Jacques (1)
- Rosazza Gianin, Emanuela (1)
- Santos, Samuel Soares (1)
- Sarmah, Pranjal (1)
- Schmidt, Klaus D. (1)
- Semeraro, Patrizia (1)
- Shushi, Tomer (1)
- Simon, Thomas (1)
- Song, Yongsheng (1)
- Tan, Ken Seng (1)
- Tang, Qihe (1)
- Trutschnig, Wolfgang (1)
- Tsanakas, Andreas (1)
- Vanmaele, Michèle (1)
- Wakker, Peter Paul (1)
- Wang, Ruodu (1)
- Wang, Tai-Ho (1)
- Wang, Wei (1)
- Weng, Chengguo (1)
- Wu, Wei Biao (1)
- Wu, Xianyi (1)
- Xu, Huifu (1)
- Yan, Jia-An (1)
- Yang, Hailiang (1)
- Yang, Yang (1)
- Yi, Zhang (1)
- Yin, Chuancun (1)
- Young, Virginia R. (1)
- Zhang, Yi (1)
- Zhou, Xian (1)
- Zhu, Dan (1)
- Zhuang, Shengchao (1)
all
top 5
Serial
- Insur. Math. Econ. (35)
- Stat. Probab. Lett. (3)
- Depend. Model. (3)
- Commun. Stat., Theory Methods (2)
- Scand. Actuar. J. (2)
- Eur. Actuar. J. (2)
- Metrika (1)
- Bl., Dtsch. Ges. Versicherungsmath. (1)
- Fuzzy Sets Syst. (1)
- J. Appl. Probab. (1)
- J. Comput. Appl. Math. (1)
- J. Math. Econ. (1)
- J. Multivariate Anal. (1)
- Acta Appl. Math. (1)
- Stochastic Processes Appl. (1)
- Finance Stoch. (1)
- Decis. Econ. Finance (1)
- Stoch. Models (1)
- N. Am. Actuar. J. (1)
- Comput. Manag. Sci. (1)
- J. Ind. Manag. Optim. (1)
- Electron. J. Stat. (1)