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Comparing approximations for risk measures of sums of non-independent lognormal random variables

Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan - 2004

Persistent link: https://www.econbiz.de/10002153412

Multivariate negative binomial models for insurance claim counts

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CAPM and option pricing with elliptical distributions

Hamada, Mahmoud; Valdez, Emiliano - 2004

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CAPM and option pricing with elliptically contoured distributions

Hamada, Mahmoud; Valdez, Emiliano - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 387-409

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The tail Stein's identity with applications to risk measures

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Modeling partial Greeks of variable annuities with dependence

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Fat-Tailed Regression Modeling with Spliced Distributions

Gan, Guojun - 2017

Insurance claims data usually contains a large number of zeros and exhibits fat-tail behavior. Misestimation of one end of the tail impacts the other end of the tail of the claims distribution; such can affect both the adequacy of premiums and needed reserves to hold. In addition, insured...

Persistent link: https://www.econbiz.de/10012947808

Fat-tailed regression modeling with spliced distributions

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A new approach to assessing model risk in high dimensions

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A stein type lemma for the multivariate generalized hyperbolic distribution

Vanduffel, Steven; Yao, Jing - In: European journal of operational research : EJOR 261 (2017) 2, pp. 606-612

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