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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

Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model

Vernic, Raluca - In: Fuzzy optimization and decision making : a journal of … 15 (2016) 2, pp. 195-217

Persistent link: https://www.econbiz.de/10011647317

Reducing risk by merging counter-monotonic risks

Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe - In: Insurance / Mathematics & economics 54 (2014), pp. 58-65

Persistent link: https://www.econbiz.de/10010259677

On the ruin probabilities of a bidimensional perturbed risk model

Li, Junhai; Liu, Zaiming; Tang, Qihe - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 185-195

Persistent link: https://www.econbiz.de/10003755694

Risk reducers in convex order

He, Junnan; Tang, Qihe; Zhang, Huan - In: Insurance / Mathematics & economics 70 (2016), pp. 80-88

Persistent link: https://www.econbiz.de/10011597183

Interplay of insurance and financial risks in a stochastic environment

Tang, Qihe; Yang, Yang - In: Scandinavian actuarial journal 2019 (2019) 5, pp. 432-451

Persistent link: https://www.econbiz.de/10012194959

Robust actuarial risk analysis

Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 1, pp. 33-63

Persistent link: https://www.econbiz.de/10012180603

Cat bond pricing under a product probability measure with pot risk characterization

Tang, Qihe; Yuan, Zhongyi - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 457-490

Persistent link: https://www.econbiz.de/10012056609

Insurance risk analysis of financial networks vulnerable to a shock

Tang, Qihe; Tong, Zhiwei; Xun, Li - In: European journal of operational research : EJOR 301 (2022) 2, pp. 756-771

Persistent link: https://www.econbiz.de/10013207676

Portfolio risk analysis of excess of loss reinsurance

Tang, Qihe; Tong, Zhiwei; Xun, Li - In: Insurance / Mathematics & economics 102 (2022), pp. 91-110

Persistent link: https://www.econbiz.de/10013271962