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A gamma kernel density estimation for insurance loss data
16 references·0 citing·37 second hop
A gamma kernel density estimation for insurance loss data (2013)A gamma kernel density estimation for ins…A new class of models for heavy tailed distributions in finance and insurance risk (2012)A new class of models for hea…Quantitative Risk Management (2011)Quantitative Risk ManagementModeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Modeling and Evaluating Insur…Modelling Longevity Dynamics for Pensions and Annuity Business (2009)Modelling Longevity Dynamics …On the Class of Erlang Mixtures with Risk Theoretic Applications (2007)On the Class of Erlang Mixtur…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Markov Aging Process and Phase-Type Law of Mortality (2007)Markov Aging Process and Phas…Tail Conditional Expectations for Exponential Dispersion Models (2005)Tail Conditional Expectations…Kernel density estimation for heavy-tailed distributions using the champernowne transformation (2005)Kernel density estimation for…Tail Conditional Expectations for Elliptical Distributions (2003)Tail Conditional Expectations…Kernel density estimation of actuarial loss functions (2003)Kernel density estimation of …Lundberg Approximations for Compound Distributions with Insurance Applications (2001)Lundberg Approximations for C…The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (2000)The moments of the time of ru…Modelling Extremal Events (1997)Modelling Extremal EventsStochastic Models: An Algorithmic Approach (1995)Stochastic Models: An Algorit…Simulation Modeling and Analysis. (1983)Empirical Model Building and Response Surfaces (1988)Loss Models: From Data to Decisions (1999)Modeling loss data using mixtures of distributions (2016)On generalized log-Moyal distribution: A new heavy tailed size distribution (2018)An introduction to mathematical risk theory (1979)Insurance Risk Models (1994)On the Time Value of Ruin (1998)Analysis of a defective renewal equation arising in ruin theory (1999)On the discounted penalty function in a Markov-dependent risk model (2005)Coherent Measures of Risk (1999)Capital Allocation for Insurance Companies (2001)Correlation and Dependence (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Hierarchical Insurance Claims Modeling (2008)Optimal Capital Allocation Principles (2011)The Theory of Income Distribution. (1974)An Introduction to Statistical Modeling of Extreme Values (2001)Skewed bivariate models and nonparametric estimation for the CTE risk measure (2008)Composite Lognormal–Pareto model with random threshold (2010)A nonparametric approach to calculating value-at-risk (2013)The classical risk model with a constant dividend barrier: analysis of the Gerber–Shiu discounted penalty function (2003)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)On a time consistency concept in risk averse multistage stochastic programming (2009)The 1/N investment strategy is optimal under high model ambiguity (2011)Risk management with expectiles (2015)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)A comparative study of parametric mortality projection models (2010)Bayesian Stochastic Mortality Modelling for Two Populations (2011)Variable annuities: A unifying valuation approach (2011)A framework for optimization under ambiguity (2010)Catastrophe Risk Models for Evaluating Disaster Risk Reduction Investments in Developing Countries (2012)Fuzzy Portfolio Optimization of Power Generation Assets (2018)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 2011Quantitative Risk Management985 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 2007Modeling, Measuring and Managing Risk326 cited
  • 2009Modelling Longevity Dynamics for Pensions and Annuity Business285 cited
  • 2001Lundberg Approximations for Compound Distributions with Insurance Applications271 cited
  • 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin157 cited
  • 2007Modeling, Measuring and Managing Risk149 cited
  • 2005Kernel density estimation for heavy-tailed distributions using the champernowne transformation140 cited
  • 2010Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions129 cited
  • 1995Stochastic Models: An Algorithmic Approach115 cited
  • 2007On the Class of Erlang Mixtures with Risk Theoretic Applications102 cited
  • 2003Kernel density estimation of actuarial loss functions89 cited
  • 2005Tail Conditional Expectations for Exponential Dispersion Models84 cited
  • 2007Markov Aging Process and Phase-Type Law of Mortality75 cited
  • 2012

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A new class of models for heavy tailed distributions in finance and insurance risk
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