Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach-Reference-Cited by-同舟云学术

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Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach

Published:2019-01-02 Issue:1 Volume:23 Page:82-97
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Kim Joseph H. T.¹,Jang Jiwook²^ORCID,Pyun Chaehyun³

Affiliation:

1. Department of Applied Statistics, College of Business and Economics, Yonsei University, Seoul, South Korea

2. Department of Actuarial Studies and Business Analytics, Faculty of Business and Economics, Macquarie University, Sydney, Australia

3. Department of Finance, Terry College of Business, University of Georgia, Athens, Georgia

Funder

Basic Science Research Program of the National Research Foundation of Korea

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2018.1506705

Reference32 articles.

1. On the distribution of a sum of correlated aggregate claims

2. Solvency capital requirement for a temporal dependent losses in insurance

3. Coherent Measures of Risk

4. Multivariate Pareto portfolios: TCE-based capital allocation and divided differences

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1. Risk analysis of a multivariate aggregate loss model with dependence;Annals of Actuarial Science;2024-05-14

2. EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES;ASTIN Bulletin;2022-07-15

3. Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses;Methodology and Computing in Applied Probability;2021-10-09

4. Tail Moments of Compound Distributions;North American Actuarial Journal;2021-10-07

5. Size-Biased Risk Measures of Compound Sums;North American Actuarial Journal;2020-01-23

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