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
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
Koike, Takaaki; Saporito, Yuri; Targino, Rodrigo Avoiding zero probability events when computing value at risk contributions. (English) Zbl 1498.91504 Insur. Math. Econ. 106, 173-192 (2022). MSC: 91G70 91G05 PDFBibTeX XMLCite \textit{T. Koike} et al., Insur. Math. Econ. 106, 173--192 (2022; Zbl 1498.91504) 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
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (English) Zbl 1484.91366 Insur. Math. Econ. 103, 96-118 (2022). MSC: 91G05 45K05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 103, 96--118 (2022; Zbl 1484.91366) Full Text: DOI
Marri, Fouad; Moutanabbir, Khouzeima Risk aggregation and capital allocation using a new generalized Archimedean copula. (English) Zbl 1484.91398 Insur. Math. Econ. 102, 75-90 (2022). MSC: 91G05 91G70 62H05 PDFBibTeX XMLCite \textit{F. Marri} and \textit{K. Moutanabbir}, Insur. Math. Econ. 102, 75--90 (2022; Zbl 1484.91398) Full Text: DOI arXiv
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela Haezendonck-Goovaerts capital allocation rules. (English) Zbl 1475.91288 Insur. Math. Econ. 101, 173-185 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{G. Canna} et al., Insur. Math. Econ. 101, 173--185 (2021; Zbl 1475.91288) Full Text: DOI
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
Furman, Edward; Kye, Yisub; Su, Jianxi Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. (English) Zbl 1460.91221 Insur. Math. Econ. 96, 153-167 (2021). MSC: 91G05 91G45 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 96, 153--167 (2021; Zbl 1460.91221) Full Text: DOI
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
Shushi, Tomer; Yao, Jing Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models. (English) Zbl 1446.91073 Insur. Math. Econ. 93, 178-186 (2020). MSC: 91G05 91G70 91G45 PDFBibTeX XMLCite \textit{T. Shushi} and \textit{J. Yao}, Insur. Math. Econ. 93, 178--186 (2020; Zbl 1446.91073) Full Text: DOI
Bauer, Daniel; Kamiya, Shinichi; Ping, Xiaohu; Zanjani, George Dynamic capital allocation with irreversible investments. (English) Zbl 1419.91577 Insur. Math. Econ. 85, 138-152 (2019). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{D. Bauer} et al., Insur. Math. Econ. 85, 138--152 (2019; Zbl 1419.91577) 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
Pesenti, Silvana M.; Tsanakas, Andreas; Millossovich, Pietro Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018). (English) Zbl 1417.91282 Insur. Math. Econ. 83, 29-31 (2018). MSC: 91B30 PDFBibTeX XMLCite \textit{S. M. Pesenti} et al., Insur. Math. Econ. 83, 29--31 (2018; Zbl 1417.91282) Full Text: DOI
Zhou, Ming; Dhaene, Jan; Yao, Jing An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (English) Zbl 1401.91218 Insur. Math. Econ. 79, 92-100 (2018). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{M. Zhou} et al., Insur. Math. Econ. 79, 92--100 (2018; Zbl 1401.91218) Full Text: DOI
Major, John A. Distortion measures and homogeneous financial derivatives. (English) Zbl 1401.91172 Insur. Math. Econ. 79, 82-91 (2018). MSC: 91B30 91G10 91G20 PDFBibTeX XMLCite \textit{J. A. Major}, Insur. Math. Econ. 79, 82--91 (2018; Zbl 1401.91172) Full Text: DOI
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas Weighted risk capital allocations in the presence of systematic risk. (English) Zbl 1401.91139 Insur. Math. Econ. 79, 75-81 (2018). MSC: 91B30 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 79, 75--81 (2018; Zbl 1401.91139) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. (English) Zbl 1398.62289 Insur. Math. Econ. 78, 53-71 (2018). MSC: 62P05 91B30 62H05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 78, 53--71 (2018; Zbl 1398.62289) Full Text: DOI
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
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
Asimit, Alexandru V.; Li, Jinzhu Extremes for coherent risk measures. (English) Zbl 1371.91075 Insur. Math. Econ. 71, 332-341 (2016). MSC: 91B30 62P05 60G70 62G32 PDFBibTeX XMLCite \textit{A. V. Asimit} and \textit{J. Li}, Insur. Math. Econ. 71, 332--341 (2016; Zbl 1371.91075) Full Text: DOI Link
Hougaard, Jens Leth; Smilgins, Aleksandrs Risk capital allocation with autonomous subunits: the Lorenz set. (English) Zbl 1348.91148 Insur. Math. Econ. 67, 151-157 (2016). MSC: 91B30 91A12 91B32 91G10 PDFBibTeX XMLCite \textit{J. L. Hougaard} and \textit{A. Smilgins}, Insur. Math. Econ. 67, 151--157 (2016; Zbl 1348.91148) Full Text: DOI
Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models. (English) Zbl 1314.91241 Insur. Math. Econ. 61, 206-226 (2015). MSC: 91G60 91B30 65C05 65C40 62P05 PDFBibTeX XMLCite \textit{R. S. Targino} et al., Insur. Math. Econ. 61, 206--226 (2015; Zbl 1314.91241) Full Text: DOI arXiv
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
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G. Factor risk quantification in annuity models. (English) Zbl 1304.91116 Insur. Math. Econ. 58, 34-45 (2014). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{U. Karabey} et al., Insur. Math. Econ. 58, 34--45 (2014; Zbl 1304.91116) Full Text: DOI
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
Wang, Min Capital allocation based on the tail covariance premium adjusted. (English) Zbl 1304.91135 Insur. Math. Econ. 57, 125-131 (2014). MSC: 91B30 91G50 PDFBibTeX XMLCite \textit{M. Wang}, Insur. Math. Econ. 57, 125--131 (2014; Zbl 1304.91135) Full Text: DOI
Cai, Jun; Wei, Wei Some new notions of dependence with applications in optimal allocation problems. (English) Zbl 1296.91246 Insur. Math. Econ. 55, 200-209 (2014). MSC: 91G10 91B30 60E15 PDFBibTeX XMLCite \textit{J. Cai} and \textit{W. Wei}, Insur. Math. Econ. 55, 200--209 (2014; Zbl 1296.91246) Full Text: DOI
Xu, Maochao; Mao, Tiantian Optimal capital allocation based on the tail mean-variance model. (English) Zbl 1290.91152 Insur. Math. Econ. 53, No. 3, 533-543 (2013). MSC: 91G10 91B30 62P05 62G30 60G70 PDFBibTeX XMLCite \textit{M. Xu} and \textit{T. Mao}, Insur. Math. Econ. 53, No. 3, 533--543 (2013; Zbl 1290.91152) Full Text: DOI
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
Das, S.; Kratz, M. Alarm system for insurance companies: a strategy for capital allocation. (English) Zbl 1284.91223 Insur. Math. Econ. 51, No. 1, 53-65 (2012). MSC: 91B30 60K30 PDFBibTeX XMLCite \textit{S. Das} and \textit{M. Kratz}, Insur. Math. Econ. 51, No. 1, 53--65 (2012; Zbl 1284.91223) Full Text: DOI arXiv
Xu, Maochao; Hu, Taizhong Stochastic comparisons of capital allocations with applications. (English) Zbl 1237.91141 Insur. Math. Econ. 50, No. 3, 293-298 (2012). MSC: 91B30 91G10 60E15 62P05 62N05 62G30 62D05 PDFBibTeX XMLCite \textit{M. Xu} and \textit{T. Hu}, Insur. Math. Econ. 50, No. 3, 293--298 (2012; Zbl 1237.91141) Full Text: DOI
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. (English) Zbl 1235.91086 Insur. Math. Econ. 50, No. 2, 247-256 (2012). MSC: 91B30 62P05 91G10 91G40 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 50, No. 2, 247--256 (2012; Zbl 1235.91086) Full Text: DOI
Gong, Lan; Badescu, Andrei L.; Cheung, Eric C. K. Recursive methods for a multi-dimensional risk process with common shocks. (English) Zbl 1235.91090 Insur. Math. Econ. 50, No. 1, 109-120 (2012). MSC: 91B30 PDFBibTeX XMLCite \textit{L. Gong} et al., Insur. Math. Econ. 50, No. 1, 109--120 (2012; Zbl 1235.91090) Full Text: DOI Link
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
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; Vernic, Raluca Asymptotics for risk capital allocations based on conditional tail expectation. (English) Zbl 1228.91029 Insur. Math. Econ. 49, No. 3, 310-324 (2011). MSC: 91B30 60G70 60E05 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 49, No. 3, 310--324 (2011; Zbl 1228.91029) Full Text: DOI Link
Bargès, Mathieu; Cossette, Hélène; Marceau, Étienne TVaR-based capital allocation with copulas. (English) Zbl 1231.91141 Insur. Math. Econ. 45, No. 3, 348-361 (2009). MSC: 91B30 91G10 60E05 62H05 PDFBibTeX XMLCite \textit{M. Bargès} et al., Insur. Math. Econ. 45, No. 3, 348--361 (2009; Zbl 1231.91141) Full Text: DOI
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
Sadefo Kamdem, J. \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC. (English) Zbl 1162.91379 Insur. Math. Econ. 44, No. 3, 325-336 (2009). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{J. Sadefo Kamdem}, Insur. Math. Econ. 44, No. 3, 325--336 (2009; Zbl 1162.91379) Full Text: DOI
Tsanakas, Andreas To split or not to split: Capital allocation with convex risk measures. (English) Zbl 1165.91423 Insur. Math. Econ. 44, No. 2, 268-277 (2009). MSC: 91B30 91B28 91B32 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 44, No. 2, 268--277 (2009; Zbl 1165.91423) Full Text: DOI Link
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
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
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
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
Tsanakas, Andreas Dynamic capital allocation with distortion risk measures. (English) Zbl 1103.91316 Insur. Math. Econ. 35, No. 2, 223-243 (2004). MSC: 91A12 91B30 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 35, No. 2, 223--243 (2004; Zbl 1103.91316) Full Text: DOI Link
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