Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Risk aggregation with FGM copulas. (English) Zbl 1520.91312 Insur. Math. Econ. 111, 102-120 (2023). MSC: 91G05 60E15 62H05 PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Insur. Math. Econ. 111, 102--120 (2023; Zbl 1520.91312) Full Text: DOI arXiv
Gribkova, N. V.; Su, J.; Zitikis, R. Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants. (English) Zbl 1507.91179 Insur. Math. Econ. 107, 199-222 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{N. V. Gribkova} et al., Insur. Math. Econ. 107, 199--222 (2022; Zbl 1507.91179) Full Text: DOI
Jiang, Wenjun; Ren, Jiandong Evaluating the tail risk of multivariate aggregate losses. (English) Zbl 1508.91475 ASTIN Bull. 52, No. 3, 921-952 (2022). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{J. Ren}, ASTIN Bull. 52, No. 3, 921--952 (2022; Zbl 1508.91475) Full Text: DOI
Guan, Guohui; Hu, Xiang On the analysis of a discrete-time risk model with INAR(1) processes. (English) Zbl 1492.91293 Scand. Actuar. J. 2022, No. 2, 115-138 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Guan} and \textit{X. Hu}, Scand. Actuar. J. 2022, No. 2, 115--138 (2022; Zbl 1492.91293) Full Text: DOI
Hu, Xiang; Zhang, Lianzeng Multivariate distributions with time and cross-dependence: aggregation and capital allocation. (English) Zbl 1492.91297 ASTIN Bull. 52, No. 2, 669-706 (2022). MSC: 91G05 62P05 62H10 PDFBibTeX XMLCite \textit{X. Hu} and \textit{L. Zhang}, ASTIN Bull. 52, No. 2, 669--706 (2022; Zbl 1492.91297) Full Text: DOI
Kang, Yao; Wang, Dehui; Cheng, Jianhua Risk models based on copulas for premiums and claim sizes. (English) Zbl 07533665 Commun. Stat., Theory Methods 50, No. 10, 2250-2269 (2021). MSC: 60J65 62P05 62-XX PDFBibTeX XMLCite \textit{Y. Kang} et al., Commun. Stat., Theory Methods 50, No. 10, 2250--2269 (2021; Zbl 07533665) Full Text: DOI
Mohammed, Nawaf; Furman, Edward; Su, Jianxi Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (English) Zbl 1475.91313 Insur. Math. Econ. 101, 425-436 (2021). MSC: 91G05 91B32 91G70 PDFBibTeX XMLCite \textit{N. Mohammed} et al., Insur. Math. Econ. 101, 425--436 (2021; Zbl 1475.91313) Full Text: DOI arXiv
Denuit, Michel Size-biased risk measures of compound sums. (English) Zbl 1461.91242 N. Am. Actuar. J. 24, No. 4, 512-532 (2020). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{M. Denuit}, N. Am. Actuar. J. 24, No. 4, 512--532 (2020; Zbl 1461.91242) Full Text: DOI Link
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina Multivariate geometric tail- and range-value-at-risk. (English) Zbl 1431.91441 ASTIN Bull. 50, No. 1, 265-292 (2020). MSC: 91G70 91G05 62P05 PDFBibTeX XMLCite \textit{K. Herrmann} et al., ASTIN Bull. 50, No. 1, 265--292 (2020; Zbl 1431.91441) Full Text: DOI
Kim, Joseph H. T.; Kim, So-Yeun Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions. (English) Zbl 1411.91293 Insur. Math. Econ. 86, 145-157 (2019). MSC: 91B30 62P05 62H05 PDFBibTeX XMLCite \textit{J. H. T. Kim} and \textit{S.-Y. Kim}, Insur. Math. Econ. 86, 145--157 (2019; Zbl 1411.91293) Full Text: DOI
Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. (English) Zbl 1417.62300 N. Am. Actuar. J. 23, No. 1, 82-97 (2019). MSC: 62P05 91B30 62E15 PDFBibTeX XMLCite \textit{J. H. T. Kim} et al., N. Am. Actuar. J. 23, No. 1, 82--97 (2019; Zbl 1417.62300) Full Text: DOI
Boonen, Tim J.; Guillen, Montserrat; Santolino, Miguel Forecasting compositional risk allocations. (English) Zbl 1419.91350 Insur. Math. Econ. 84, 79-86 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{T. J. Boonen} et al., Insur. Math. Econ. 84, 79--86 (2019; Zbl 1419.91350) Full Text: DOI Link
Nadarajah, Saralees; Chu, Jeffrey; Jiang, Xiao Aggregation and capital allocation formulas for bivariate distributions. (English) Zbl 1508.91620 Probab. Eng. Inf. Sci. 32, No. 4, 556-566 (2018). MSC: 91G70 PDFBibTeX XMLCite \textit{S. Nadarajah} et al., Probab. Eng. Inf. Sci. 32, No. 4, 556--566 (2018; Zbl 1508.91620) Full Text: DOI
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina Multivariate geometric expectiles. (English) Zbl 1398.62302 Scand. Actuar. J. 2018, No. 7, 629-659 (2018). MSC: 62P05 62H05 91B30 91G70 PDFBibTeX XMLCite \textit{K. Herrmann} et al., Scand. Actuar. J. 2018, No. 7, 629--659 (2018; Zbl 1398.62302) Full Text: DOI arXiv
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon Fitting the Erlang mixture model to data via a GEM-CMM algorithm. (English) Zbl 1503.62097 J. Comput. Appl. Math. 343, 189-205 (2018). MSC: 62P05 62F10 62N01 91G05 PDFBibTeX XMLCite \textit{W. Gui} et al., J. Comput. Appl. Math. 343, 189--205 (2018; Zbl 1503.62097) Full Text: DOI
Ren, Jiandong; Zitikis, Ričardas CMPH: a multivariate phase-type aggregate loss distribution. (English) Zbl 1393.91101 Depend. Model. 5, 304-315 (2017). MSC: 91B30 62H05 62P05 PDFBibTeX XMLCite \textit{J. Ren} and \textit{R. Zitikis}, Depend. Model. 5, 304--315 (2017; Zbl 1393.91101) Full Text: DOI
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil Impact of dependence on some multivariate risk indicators. (English) Zbl 1369.62139 Methodol. Comput. Appl. Probab. 19, No. 2, 395-427 (2017). MSC: 62H30 62P05 91B30 PDFBibTeX XMLCite \textit{V. Maume-Deschamps} et al., Methodol. Comput. Appl. Probab. 19, No. 2, 395--427 (2017; Zbl 1369.62139) Full Text: DOI arXiv
Cai, Jun; Wang, Ying; Mao, Tiantian Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (English) Zbl 1394.91197 Insur. Math. Econ. 75, 105-116 (2017). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{J. Cai} et al., Insur. Math. Econ. 75, 105--116 (2017; Zbl 1394.91197) Full Text: DOI
Ratovomirija, Gildas; Tamraz, Maissa; Vernic, Raluca On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation. (English) Zbl 1394.62145 Insur. Math. Econ. 74, 197-209 (2017). MSC: 62P05 62H05 60E05 91B30 PDFBibTeX XMLCite \textit{G. Ratovomirija} et al., Insur. Math. Econ. 74, 197--209 (2017; Zbl 1394.62145) Full Text: DOI arXiv
Yin, Cuihong; Lin, X. Sheldon Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application. (English) Zbl 1390.62030 ASTIN Bull. 46, No. 3, 779-799 (2016). MSC: 62F12 62P05 91B30 PDFBibTeX XMLCite \textit{C. Yin} and \textit{X. S. Lin}, ASTIN Bull. 46, No. 3, 779--799 (2016; Zbl 1390.62030) Full Text: DOI
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed Vector-valued tail value-at-risk and capital allocation. (English) Zbl 1349.91319 Methodol. Comput. Appl. Probab. 18, No. 3, 653-674 (2016). MSC: 91G70 62P05 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 18, No. 3, 653--674 (2016; Zbl 1349.91319) Full Text: DOI
Ratovomirija, Gildas On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. (English) Zbl 1415.91162 Eur. Actuar. J. 6, No. 1, 149-175 (2016). MSC: 91B30 62P05 62E15 PDFBibTeX XMLCite \textit{G. Ratovomirija}, Eur. Actuar. J. 6, No. 1, 149--175 (2016; Zbl 1415.91162) Full Text: DOI arXiv
Hashorva, Enkelejd; Ratovomirija, Gildas On Sarmanov mixed Erlang risks in insurance applications. (English) Zbl 1390.62208 ASTIN Bull. 45, No. 1, 175-205 (2015). MSC: 62P05 62H05 91B30 PDFBibTeX XMLCite \textit{E. Hashorva} and \textit{G. Ratovomirija}, ASTIN Bull. 45, No. 1, 175--205 (2015; Zbl 1390.62208) Full Text: DOI Link
Willmot, Gordon E.; Woo, Jae-Kyung On some properties of a class of multivariate Erlang mixtures with insurance applications. (English) Zbl 1390.62092 ASTIN Bull. 45, No. 1, 151-173 (2015). MSC: 62H05 62E15 62P05 91B30 PDFBibTeX XMLCite \textit{G. E. Willmot} and \textit{J.-K. Woo}, ASTIN Bull. 45, No. 1, 151--173 (2015; Zbl 1390.62092) Full Text: DOI Link
Cossette, Hélène; Marceau, Etienne; Perreault, Samuel On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. (English) Zbl 1348.91137 Insur. Math. Econ. 64, 214-224 (2015). MSC: 91B30 60E05 62H05 62P05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 64, 214--224 (2015; Zbl 1348.91137) Full Text: DOI
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel GlueVaR risk measures in capital allocation applications. (English) Zbl 1304.91092 Insur. Math. Econ. 58, 132-137 (2014). MSC: 91G70 91B30 PDFBibTeX XMLCite \textit{J. Belles-Sampera} et al., Insur. Math. Econ. 58, 132--137 (2014; Zbl 1304.91092) Full Text: DOI Link
Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation. (English) Zbl 1284.60027 Insur. Math. Econ. 52, No. 3, 560-572 (2013). MSC: 60E05 62H05 62E15 91B30 91G10 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 52, No. 3, 560--572 (2013; Zbl 1284.60027) Full Text: DOI