On log-normal convolutions : an analytical-numerical method with applications to economic capital determination
Edward Furman, Daniel Hackmann, Alexey Kuznetsov
| Year of publication: |
2020
|
|---|---|
| Authors: | Furman, Edward ; Hackmann, Daniel ; Kuznetsov, Alexey |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 90.2020, p. 120-134
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| Subject: | Collective risk model | Convolution | Economic capital | Generalized gamma convolution | Individual risk model | Log-normal distribution | Padé approximation | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risikomanagement | Risk management | Risikomodell | Risk model | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012169509