Risk capital decomposition for a multivariate dependent gamma portfolio

Insurance: Mathematics and Economics - Tập 37 - Trang 635-649 - 2005
Edward Furman1, Zinoviy Landsman1
1Department of Statistics, University of Haifa, Haifa 31905, Israel

Tài liệu tham khảo

Bildikar, 1968, Multivariate exponential type distributions, Annals of Statistics, 39, 1316, 10.1214/aoms/1177698257

Bowers, 1997

Cheriyan, 1941, A bivariate correlated gamma-type distribution function, Journal of the Indian Mathematical Society, 5, 133

Feller, 1966

Herzog, 1996

Hossack, 1983

Hürlimann, 2001, Analytical evaluation of economic risk capital for portfolio of gamma risks, ASTIN Bulletin, 31, 107, 10.2143/AST.31.1.996

Kotz, 2000

Landsman, 2003, Tail conditional expectation for elliptical distributions, North American Actuarial Journal, 7, 55, 10.1080/10920277.2003.10596118

Landsman, 2005, Tail conditional expectation for exponential dispersion models, Astin Bulletin, 35, 189, 10.2143/AST.35.1.583172

Mathai, 1991, On a multivariate gamma, Journal of Multivariate Analysis, 39, 135, 10.1016/0047-259X(91)90010-Y

Melnick, 2000, Determination of the value at risk. Using approximate methods

Panjer, H.H., Jing, J., 2001. Solvency and Capital Allocation. Research Report 01-14. Institute of Insurance and Pension Research, University of Waterloo.

Rioux, J., Klugman, S., 2004. Toward a Unified Approach to Fitting Loss Models, http://www.iowaactuariesclub.org/library.

Zaik, 1996, RAROC at Bank of America: from theory to practice, Journal of Applied Corporate Finance, 9, 83, 10.1111/j.1745-6622.1996.tb00117.x