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Beyond the pearson correlation : heavy-tailed risks, weighted gini correlations, and a Gini-type weighted insurance pricing model
Furman, Edward; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 47 (2017) 3, pp. 919-942
Persistent link: https://www.econbiz.de/10011763689
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Weighted risk capital allocations in the presence of systematic risk
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas - In: Insurance / Mathematics & economics 79 (2018), pp. 75-81
Persistent link: https://www.econbiz.de/10011825387
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Weak comonotonicity
Wang, Ruodu; Zitikis, Ričardas - In: European journal of operational research : EJOR 282 (2020) 1, pp. 386-397
Persistent link: https://www.econbiz.de/10012157705