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Optimal capital allocations to interdependent actuarial risks · Study

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ArticleOptimal capital allocations to interdependent actuarial risks

Yinping You2014

Article2014

Optimal capital allocations to interdependent actuarial risks

Yinping You · Xiaohu Li

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

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Probability and Risk Models Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

2011Quantitative Risk Management 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2005Actuarial Theory for Dependent Risks 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données 2012Quantitative Risk Management 2001Capital Allocation for Insurance Companies

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Year2014

Typearticle

Published2014-05-23

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations35

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2014.05.007

openalex_workW2077835992

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