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ArticleMultivariate skew-normal distributions with applications in insurance

Raluca Vernic2006

Article2006

Multivariate skew-normal distributions with applications in insurance

104 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Statistical Distribution Estimation and Applications Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 2001Coherent allocation of risk capital 2003Tail Conditional Expectations for Elliptical Distributions 2001Capital Allocation for Insurance Companies 2006Encyclopedia of Actuarial Science 2002Economic capital allocation derived from risk measures 2002MEASUREMENT OF RISK, SOLVENCY REQUIREMENTS AND ALLOCATION OF CAPITAL WITHIN FINANCIAL CONGLOMERATES

Cited by

2017Data breaches: Goodness of fit, pricing, and risk measurement 2016Asymmetries and Portfolio Choice 2009Weighted Pricing Functionals With Applications to Insurance 2018On generalized log-Moyal distribution: A new heavy tailed size distribution 2017Compound unimodal distributions for insurance losses 2008Skewed bivariate models and nonparametric estimation for the CTE risk measure 2009Multivariate Tweedie distributions and some related capital-at-risk analyses

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Year2006

Typearticle

Published2006-01-07

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations104

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2005.11.001

openalex_workW2007332462

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2008

Economic Capital Allocations for Non-negative Portfolios of Dependent Risks