SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal capital allocations to interdependent actuarial risks
16 references·0 citing·39 second hop
Optimal capital allocations to interdependent actuarial risks (2014)Optimal capital allocations to interdepen…Quantitative Risk Management (2012)Quantitative Risk ManagementRisk taking with additive and multiplicative background risks (2011)Risk taking with additive and…Quantitative Risk Management (2011)Quantitative Risk ManagementOptimal Capital Allocation Principles (2011)Optimal Capital Allocation Pr…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Weighted risk capital allocations (2008)Weighted risk capital allocat…To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007)To Split or Not to Split: Cap…Some notions of multivariate positive dependence (2005)Some notions of multivariate …Actuarial Theory for Dependent Risks (2005)Actuarial Theory for Dependen…An optimization approach to the dynamic allocation of economic capital (2004)An optimization approach to t…Capital Allocation for Insurance Companies (2001)Capital Allocation for Insura…Ordering of actuarial risks (1994)Ordering of actuarial risksAversion to one risk in the presence of others (1988)Aversion to one risk in the p…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Copules archimédiennes et fam…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)An Introduction to Copulas (1999)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pricing and capital allocation in catastrophe insurance (2002)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers (2007)Ordinal Measures of Association (1958)The Performance of Some Correlation Coefficients for a General Bivariate Distribution (1960)On Nonparametric Measures of Dependence for Random Variables (1981)Weak convergence of empirical copula processes (2004)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)On the coherence of expected shortfall (2002)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Comonotonicity, correlation order and premium principles (1998)Ordering risks: Expected utility theory versus Yaari's dual theory of risk (1998)Enjoy the Joy of Copulas: With a Packagecopula (2007)Factor copula models for multivariate data (2013)COHERENCE AND ELICITABILITY (2014)Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? (2018)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)
this work references cited by second hop

References

  • 2011Quantitative Risk Management985 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
  • 2005Actuarial Theory for Dependent Risks536 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
  • 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données412 cited
  • 2012Quantitative Risk Management374 cited
  • 2001Capital Allocation for Insurance Companies286 cited
  • 2011Optimal Capital Allocation Principles224 cited
  • 1994Ordering of actuarial risks180 cited
  • 2008Weighted risk capital allocations139 cited
  • 2007To Split or Not to Split: Capital Allocation with Convex Risk Measures130 cited
  • 1988Aversion to one risk in the presence of others109 cited
  • 2004An optimization approach to the dynamic allocation of economic capital89 cited
  • 2011Risk taking with additive and multiplicative background risks66 cited
  • 2005Some notions of multivariate positive dependence

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

65 cited

Cited by

No citing works inside the corpus for this window.