Similar Search Results

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

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

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

Aggregation of randomly weighted large risks

Asimit, Alexandru V.; Hashorva, Enkelejd; Kortschak, Dominik - In: IMA journal of management mathematics 28 (2017) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10011774250

Tail dependence measure for examining financial extreme co-movements

Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348

Persistent link: https://www.econbiz.de/10011705189

Systemic risk : an asymptotic evaluation

Asimit, Alexandru V.; Li, Jinzhu - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 673-698

Persistent link: https://www.econbiz.de/10011875678

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

Asimit, Alexandru Vali - 2013

Persistent link: https://www.econbiz.de/10013076306