EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Covariance-based allocation rule"
Narrow search

Narrow search

Year of publication
Subject
All
Aggregate claim loss 1 Capital allocation 1 Covariance-based allocation rule 1 FGM copula 1 Mixed Erlang distribution 1 Risk measures 1 TVaR-based allocation rule 1 Tail-Value-at-Risk 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Cossette, Hélène 1 Côté, Marie-Pier 1 Marceau, Etienne 1 Moutanabbir, Khouzeima 1
Published in...
All
Insurance: Mathematics and Economics 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation
Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; … - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 560-572
In this paper, we investigate risk aggregation and capital allocation problems for a portfolio of possibly dependent risks whose multivariate distribution is defined with the Farlie–Gumbel–Morgenstern copula and mixed Erlang distribution marginals. In such a context, we first show that the...
Persistent link: https://www.econbiz.de/10010665833
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...