Cheung, Eric C. K.; Peralta, Oscar; Woo, Jae-Kyung Multivariate matrix-exponential affine mixtures and their applications in risk theory. (English) Zbl 1498.91354 Insur. Math. Econ. 106, 364-389 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} et al., Insur. Math. Econ. 106, 364--389 (2022; Zbl 1498.91354) Full Text: DOI arXiv
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. On capital allocation for a risk measure derived from ruin theory. (English) Zbl 1490.91169 Insur. Math. Econ. 104, 76-98 (2022). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{G. A. Delsing} et al., Insur. Math. Econ. 104, 76--98 (2022; Zbl 1490.91169) Full Text: DOI arXiv
Cai, Jun; Wang, Ying Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (English) Zbl 1471.91451 Insur. Math. Econ. 100, 329-349 (2021). MSC: 91G05 91B32 PDFBibTeX XMLCite \textit{J. Cai} and \textit{Y. Wang}, Insur. Math. Econ. 100, 329--349 (2021; Zbl 1471.91451) Full Text: DOI
Righi, Marcelo Brutti; Müller, Fernanda Maria; Moresco, Marlon Ruoso On a robust risk measurement approach for capital determination errors minimization. (English) Zbl 1452.91076 Insur. Math. Econ. 95, 199-211 (2020). MSC: 91B05 PDFBibTeX XMLCite \textit{M. B. Righi} et al., Insur. Math. Econ. 95, 199--211 (2020; Zbl 1452.91076) Full Text: DOI arXiv
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre Ruin-based risk measures in discrete-time risk models. (English) Zbl 1447.91132 Insur. Math. Econ. 93, 246-261 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 93, 246--261 (2020; Zbl 1447.91132) Full Text: DOI Link
van Bilsen, Servaas; Linders, Daniël Affordable and adequate annuities with stable payouts: fantasy or reality? (English) Zbl 1411.91318 Insur. Math. Econ. 86, 19-42 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{S. van Bilsen} and \textit{D. Linders}, Insur. Math. Econ. 86, 19--42 (2019; Zbl 1411.91318) Full Text: DOI Link
Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. Capital allocation for portfolios with non-linear risk aggregation. (English) Zbl 1394.91191 Insur. Math. Econ. 72, 95-106 (2017). MSC: 91B30 91G10 91A12 PDFBibTeX XMLCite \textit{T. J. Boonen} et al., Insur. Math. Econ. 72, 95--106 (2017; Zbl 1394.91191) Full Text: DOI Link
Zaks, Yaniv; Tsanakas, Andreas Optimal capital allocation in a hierarchical corporate structure. (English) Zbl 1304.91239 Insur. Math. Econ. 56, 48-55 (2014). MSC: 91G50 PDFBibTeX XMLCite \textit{Y. Zaks} and \textit{A. Tsanakas}, Insur. Math. Econ. 56, 48--55 (2014; Zbl 1304.91239) Full Text: DOI Link
Loisel, Stéphane; Trufin, Julien Properties of a risk measure derived from the expected area in red. (English) Zbl 1296.91163 Insur. Math. Econ. 55, 191-199 (2014). MSC: 91B30 60K10 60E15 PDFBibTeX XMLCite \textit{S. Loisel} and \textit{J. Trufin}, Insur. Math. Econ. 55, 191--199 (2014; Zbl 1296.91163) Full Text: DOI
van Gulick, Gerwald; De Waegenaere, Anja; Norde, Henk Excess based allocation of risk capital. (English) Zbl 1238.91141 Insur. Math. Econ. 50, No. 1, 26-42 (2012). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G50 91G10 90C05 PDFBibTeX XMLCite \textit{G. van Gulick} et al., Insur. Math. Econ. 50, No. 1, 26--42 (2012; Zbl 1238.91141) Full Text: DOI Link
Kim, Joseph H. T.; Hardy, Mary R. A capital allocation based on a solvency exchange option. (English) Zbl 1162.91380 Insur. Math. Econ. 44, No. 3, 357-366 (2009). MSC: 91B28 PDFBibTeX XMLCite \textit{J. H. T. Kim} and \textit{M. R. Hardy}, Insur. Math. Econ. 44, No. 3, 357--366 (2009; Zbl 1162.91380) Full Text: DOI
Furman, Edward; Zitikis, Ričardas Weighted risk capital allocations. (English) Zbl 1189.62163 Insur. Math. Econ. 43, No. 2, 263-269 (2008). MSC: 62P05 65C60 91B30 PDFBibTeX XMLCite \textit{E. Furman} and \textit{R. Zitikis}, Insur. Math. Econ. 43, No. 2, 263--269 (2008; Zbl 1189.62163) Full Text: DOI
Tsanakas, Andreas Risk measurement in the presence of background risk. (English) Zbl 1152.91607 Insur. Math. Econ. 42, No. 2, 520-528 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 42, No. 2, 520--528 (2008; Zbl 1152.91607) Full Text: DOI Link
Bolance, Catalina; Guillen, Montserrat; Pelican, Elena; Vernic, Raluca Skewed bivariate models and nonparametric estimation for the CTE risk measure. (English) Zbl 1156.91023 Insur. Math. Econ. 43, No. 3, 386-393 (2008). Reviewer: Giovanni Puccetti (Firenze) MSC: 91B30 PDFBibTeX XMLCite \textit{C. Bolance} et al., Insur. Math. Econ. 43, No. 3, 386--393 (2008; Zbl 1156.91023) Full Text: DOI
Buch, A.; Dorfleitner, G. Coherent risk measures, coherent capital allocations and the gradient allocation principle. (English) Zbl 1141.91490 Insur. Math. Econ. 42, No. 1, 235-242 (2008). MSC: 91B30 91B32 PDFBibTeX XMLCite \textit{A. Buch} and \textit{G. Dorfleitner}, Insur. Math. Econ. 42, No. 1, 235--242 (2008; Zbl 1141.91490) Full Text: DOI Link
Jones, Bruce L.; Zitikis, Ričardas Risk measures, distortion parameters, and their empirical estimation. (English) Zbl 1193.91065 Insur. Math. Econ. 41, No. 2, 279-297 (2007). MSC: 91B30 62N02 62P05 PDFBibTeX XMLCite \textit{B. L. Jones} and \textit{R. Zitikis}, Insur. Math. Econ. 41, No. 2, 279--297 (2007; Zbl 1193.91065) Full Text: DOI
Roorda, Berend; Schumacher, J. M. Time consistency conditions for acceptability measures, with an application to tail value at risk. (English) Zbl 1141.91547 Insur. Math. Econ. 40, No. 2, 209-230 (2007). MSC: 91B30 60K05 60K10 PDFBibTeX XMLCite \textit{B. Roorda} and \textit{J. M. Schumacher}, Insur. Math. Econ. 40, No. 2, 209--230 (2007; Zbl 1141.91547) Full Text: DOI Link
Vernic, Raluca Multivariate skew-normal distributions with applications in insurance. (English) Zbl 1132.91501 Insur. Math. Econ. 38, No. 2, 413-426 (2006). MSC: 91B30 62E10 62P05 PDFBibTeX XMLCite \textit{R. Vernic}, Insur. Math. Econ. 38, No. 2, 413--426 (2006; Zbl 1132.91501) Full Text: DOI
Wu, Xianyi; Zhou, Xian A new characterization of distortion premiums via countable additivity for comonotonic risks. (English) Zbl 1132.91019 Insur. Math. Econ. 38, No. 2, 324-334 (2006). MSC: 91B30 PDFBibTeX XMLCite \textit{X. Wu} and \textit{X. Zhou}, Insur. Math. Econ. 38, No. 2, 324--334 (2006; Zbl 1132.91019) Full Text: DOI
Jones, Bruce L.; Puri, Madan L.; Zitikis, Ričardas Testing hypotheses about the equality of several risk measure values with applications in insurance. (English) Zbl 1088.62126 Insur. Math. Econ. 38, No. 2, 253-270 (2006). MSC: 62P05 62E20 62G10 62F30 91B30 PDFBibTeX XMLCite \textit{B. L. Jones} et al., Insur. Math. Econ. 38, No. 2, 253--270 (2006; Zbl 1088.62126) Full Text: DOI
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe Some new classes of consistent risk measures. (English) Zbl 1188.91087 Insur. Math. Econ. 34, No. 3, 505-516 (2004). MSC: 91B30 60E05 60E15 62E10 62P05 91B82 PDFBibTeX XMLCite \textit{M. J. Goovaerts} et al., Insur. Math. Econ. 34, No. 3, 505--516 (2004; Zbl 1188.91087) Full Text: DOI
Laeven, Roger J. A.; Goovaerts, Marc J. An optimization approach to the dynamic allocation of economic capital. (English) Zbl 1079.91037 Insur. Math. Econ. 35, No. 2, 299-319 (2004). MSC: 91G70 91B32 91B30 PDFBibTeX XMLCite \textit{R. J. A. Laeven} and \textit{M. J. Goovaerts}, Insur. Math. Econ. 35, No. 2, 299--319 (2004; Zbl 1079.91037) Full Text: DOI
Valdez, Emiliano A.; Chernih, Andrew Wang’s capital allocation formula for elliptically contoured distributions. (English) Zbl 1103.91375 Insur. Math. Econ. 33, No. 3, 517-532 (2003). MSC: 91B30 91B32 PDFBibTeX XMLCite \textit{E. A. Valdez} and \textit{A. Chernih}, Insur. Math. Econ. 33, No. 3, 517--532 (2003; Zbl 1103.91375) Full Text: DOI