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Extreme behavior of multivariate phase-type distributions

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance / Mathematics & economics 41 (2007) 2, pp. 223-233

Persistent link: https://www.econbiz.de/10003755640

On a multivariate Pareto distribution

Asimit, Alexandru V.; Furman, Edward; Vernic, Raluca - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 308-316

Persistent link: https://www.econbiz.de/10003966591

Asymptotics for risk capital allocations based on conditional tail expectation

Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 310-324

Persistent link: https://www.econbiz.de/10009404721

Optimal reinsurance in the presence of counterparty default risk

Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697

Persistent link: https://www.econbiz.de/10010227904

Optimal risk transfer under quantile-based risk measurers

Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 252-265

Persistent link: https://www.econbiz.de/10009785397

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Asymptotic results for conditional measures of association of a random sum

Asimit, Alexandru V.; Chen, Yiqing - In: Insurance / Mathematics & economics 60 (2015), pp. 11-18

Persistent link: https://www.econbiz.de/10010484845

Optimal non-life reinsurance under Solvency II regime

Asimit, Alexandru V.; Chi, Yichun; Hu, Junlei - In: Insurance / Mathematics & economics 65 (2015), pp. 227-237

Persistent link: https://www.econbiz.de/10011428664

Efficient risk allocation within a non-life insurance group under Solvency II regime

Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, … - In: Insurance / Mathematics & economics 66 (2016), pp. 69-76

Persistent link: https://www.econbiz.de/10011442691

Capital requirements and optimal investment with solvency probability constraints

Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen - In: IMA journal of management mathematics 26 (2015) 4, pp. 345-375

Persistent link: https://www.econbiz.de/10011515664