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AGGREGATION OF CORRELATED RISK PORTFOLIOS: MODELS AND ALGORITHMS

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References

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1987The Poisson-Inverse Gaussian distribution as an alternative to the negative binomial191 cited
1999Loss Models: from Data to Decisions. By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998]164 cited

Cited by

2008On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula132 cited
1998Modeling and Comparing Dependencies in Multivariate Risk Portfolios113 cited
2003Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates101 cited
2004A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk93 cited
2013TAILS OF COPULAS83 cited
2000The discrete-time risk model with correlated classes of business82 cited

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2007Multivariate Survival Modelling: A Unified Approach with Copulas76 cited

2018Copula approaches for modeling cross-sectional dependence of data breach losses74 cited

2015Optimal proportional reinsurance with common shock dependence71 cited

2002On two dependent individual risk models67 cited

2009Analysis of ruin measures for the classical compound Poisson risk model with dependence60 cited

2005A general approach to integrated risk management with skewed, fat-tailed risks56 cited

2005On a correlated aggregate claims model with thinning-dependence structure49 cited

2009Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis48 cited

2003The use of weather forecasts in the pricing of weather derivatives44 cited

2009Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital42 cited