Risk capital decomposition for a multivariate dependent gamma portfolio-Reference-Cited by-同舟云学术

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Risk capital decomposition for a multivariate dependent gamma portfolio

Published:2005-12 Issue:3 Volume:37 Page:635-649
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Furman Edward,Landsman Zinoviy

Publisher

Elsevier BV

Subject

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

Reference17 articles.

1. Multivariate exponential type distributions;Bildikar;Annals of Statistics,1968

2. Actuarial Mathematics;Bowers,1997

3. A bivariate correlated gamma-type distribution function;Cheriyan;Journal of the Indian Mathematical Society,1941

4. An Introduction to Probability Theory and its Applications;Feller,1966

5. Introduction to Credibility Theory;Herzog,1996

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