Fissler, Tobias; Merz, Michael; Wüthrich, Mario V. Deep quantile and deep composite triplet regression. (English) Zbl 1508.91470 Insur. Math. Econ. 109, 94-112 (2023). MSC: 91G05 62P05 62G08 PDFBibTeX XMLCite \textit{T. Fissler} et al., Insur. Math. Econ. 109, 94--112 (2023; Zbl 1508.91470) Full Text: DOI arXiv
Denuit, Michel; Robert, Christian Y. From risk reduction to risk elimination by conditional mean risk sharing of independent losses. (English) Zbl 1507.91174 Insur. Math. Econ. 108, 46-59 (2023). MSC: 91G05 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{C. Y. Robert}, Insur. Math. Econ. 108, 46--59 (2023; Zbl 1507.91174) Full Text: DOI
Dang, Ou; Feng, Mingbin; Hardy, Mary R. Two-stage nested simulation of tail risk measurement: a likelihood ratio approach. (English) Zbl 1507.91173 Insur. Math. Econ. 108, 1-24 (2023). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{O. Dang} et al., Insur. Math. Econ. 108, 1--24 (2023; Zbl 1507.91173) Full Text: DOI
Denuit, Michel; Robert, Christian Y. Corrigendum and addendum to: “From risk sharing to pure premium for a large number of heterogeneous losses”. (English) Zbl 1475.91296 Insur. Math. Econ. 101, 640-644 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{C. Y. Robert}, Insur. Math. Econ. 101, 640--644 (2021; Zbl 1475.91296) Full Text: DOI
Ignatieva, Katja; Landsman, Zinoviy A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (English) Zbl 1475.91403 Insur. Math. Econ. 101, 437-465 (2021). MSC: 91G70 PDFBibTeX XMLCite \textit{K. Ignatieva} and \textit{Z. Landsman}, Insur. Math. Econ. 101, 437--465 (2021; Zbl 1475.91403) Full Text: DOI
Mohammed, Nawaf; Furman, Edward; Su, Jianxi Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (English) Zbl 1475.91313 Insur. Math. Econ. 101, 425-436 (2021). MSC: 91G05 91B32 91G70 PDFBibTeX XMLCite \textit{N. Mohammed} et al., Insur. Math. Econ. 101, 425--436 (2021; Zbl 1475.91313) Full Text: DOI arXiv
Denuit, Michel; Robert, Christian Y. Stop-loss protection for a large P2P insurance pool. (English) Zbl 1471.91455 Insur. Math. Econ. 100, 210-233 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{C. Y. Robert}, Insur. Math. Econ. 100, 210--233 (2021; Zbl 1471.91455) Full Text: DOI Link
Eini, Esmat Jamshidi; Khaloozadeh, Hamid The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution. (English) Zbl 1466.91284 Insur. Math. Econ. 98, 44-50 (2021). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{E. J. Eini} and \textit{H. Khaloozadeh}, Insur. Math. Econ. 98, 44--50 (2021; Zbl 1466.91284) Full Text: DOI
Furman, Edward; Kye, Yisub; Su, Jianxi Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. (English) Zbl 1460.91221 Insur. Math. Econ. 96, 153-167 (2021). MSC: 91G05 91G45 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 96, 153--167 (2021; Zbl 1460.91221) Full Text: DOI
Shushi, Tomer; Yao, Jing Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models. (English) Zbl 1446.91073 Insur. Math. Econ. 93, 178-186 (2020). MSC: 91G05 91G70 91G45 PDFBibTeX XMLCite \textit{T. Shushi} and \textit{J. Yao}, Insur. Math. Econ. 93, 178--186 (2020; Zbl 1446.91073) Full Text: DOI
Kim, Joseph H. T.; Kim, So-Yeun Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions. (English) Zbl 1411.91293 Insur. Math. Econ. 86, 145-157 (2019). MSC: 91B30 62P05 62H05 PDFBibTeX XMLCite \textit{J. H. T. Kim} and \textit{S.-Y. Kim}, Insur. Math. Econ. 86, 145--157 (2019; Zbl 1411.91293) Full Text: DOI
Ignatieva, Katja; Landsman, Zinoviy Conditional tail risk measures for the skewed generalised hyperbolic family. (English) Zbl 1411.91510 Insur. Math. Econ. 86, 98-114 (2019). MSC: 91G10 91G70 62P05 62E10 PDFBibTeX XMLCite \textit{K. Ignatieva} and \textit{Z. Landsman}, Insur. Math. Econ. 86, 98--114 (2019; Zbl 1411.91510) Full Text: DOI
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer A multivariate tail covariance measure for elliptical distributions. (English) Zbl 1398.62132 Insur. Math. Econ. 81, 27-35 (2018). MSC: 62H10 62P05 91B30 PDFBibTeX XMLCite \textit{Z. Landsman} et al., Insur. Math. Econ. 81, 27--35 (2018; Zbl 1398.62132) Full Text: DOI
Pitselis, Georgios Risk measures in a quantile regression credibility framework with Fama/French data applications. (English) Zbl 1394.91228 Insur. Math. Econ. 74, 122-134 (2017). MSC: 91B30 62J05 62P05 91G70 PDFBibTeX XMLCite \textit{G. Pitselis}, Insur. Math. Econ. 74, 122--134 (2017; Zbl 1394.91228) Full Text: DOI
Asimit, Alexandru V.; Li, Jinzhu Extremes for coherent risk measures. (English) Zbl 1371.91075 Insur. Math. Econ. 71, 332-341 (2016). MSC: 91B30 62P05 60G70 62G32 PDFBibTeX XMLCite \textit{A. V. Asimit} and \textit{J. Li}, Insur. Math. Econ. 71, 332--341 (2016; Zbl 1371.91075) Full Text: DOI Link
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer Tail conditional moments for elliptical and log-elliptical distributions. (English) Zbl 1371.60041 Insur. Math. Econ. 71, 179-188 (2016). MSC: 60E05 91B30 62P05 PDFBibTeX XMLCite \textit{Z. Landsman} et al., Insur. Math. Econ. 71, 179--188 (2016; Zbl 1371.60041) Full Text: DOI
Pitselis, Georgios Credible risk measures with applications in actuarial sciences and finance. (English) Zbl 1371.91195 Insur. Math. Econ. 70, 373-386 (2016). MSC: 91G70 62P05 91B30 PDFBibTeX XMLCite \textit{G. Pitselis}, Insur. Math. Econ. 70, 373--386 (2016; Zbl 1371.91195) Full Text: DOI
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer Multivariate tail conditional expectation for elliptical distributions. (English) Zbl 1373.62523 Insur. Math. Econ. 70, 216-223 (2016). MSC: 62P05 62H10 91B30 PDFBibTeX XMLCite \textit{Z. Landsman} et al., Insur. Math. Econ. 70, 216--223 (2016; Zbl 1373.62523) Full Text: DOI
Ignatieva, Katja; Landsman, Zinoviy Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. (English) Zbl 1348.91293 Insur. Math. Econ. 65, 172-186 (2015). MSC: 91G70 60E05 62P05 91B30 PDFBibTeX XMLCite \textit{K. Ignatieva} and \textit{Z. Landsman}, Insur. Math. Econ. 65, 172--186 (2015; Zbl 1348.91293) Full Text: DOI
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure. (English) Zbl 1296.91142 Insur. Math. Econ. 55, 78-90 (2014). MSC: 91B30 62G20 62G30 PDFBibTeX XMLCite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, Insur. Math. Econ. 55, 78--90 (2014; Zbl 1296.91142) Full Text: DOI
Matsui, Muneya Prediction in a non-homogeneous Poisson cluster model. (English) Zbl 1296.60128 Insur. Math. Econ. 55, 10-17 (2014). MSC: 60G55 60G51 60G25 91B30 PDFBibTeX XMLCite \textit{M. Matsui}, Insur. Math. Econ. 55, 10--17 (2014; Zbl 1296.60128) Full Text: DOI arXiv
Lu, Zhiyi; Liu, Leping; Meng, Shengwang Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures. (English) Zbl 1291.91122 Insur. Math. Econ. 52, No. 1, 46-51 (2013). MSC: 91B30 PDFBibTeX XMLCite \textit{Z. Lu} et al., Insur. Math. Econ. 52, No. 1, 46--51 (2013; Zbl 1291.91122) Full Text: DOI
Owadally, Iqbal; Landsman, Zinoviy A characterization of optimal portfolios under the tail mean-variance criterion. (English) Zbl 1284.91528 Insur. Math. Econ. 52, No. 2, 213-221 (2013). MSC: 91G10 PDFBibTeX XMLCite \textit{I. Owadally} and \textit{Z. Landsman}, Insur. Math. Econ. 52, No. 2, 213--221 (2013; Zbl 1284.91528) Full Text: DOI
Feng, Runhuan; Volkmer, Hans W. Analytical calculation of risk measures for variable annuity guaranteed benefits. (English) Zbl 1285.91055 Insur. Math. Econ. 51, No. 3, 636-648 (2012). MSC: 91B30 91G20 60H30 PDFBibTeX XMLCite \textit{R. Feng} and \textit{H. W. Volkmer}, Insur. Math. Econ. 51, No. 3, 636--648 (2012; Zbl 1285.91055) Full Text: DOI
Denuit, Michel; Dhaene, Jan Convex order and comonotonic conditional mean risk sharing. (English) Zbl 1284.60043 Insur. Math. Econ. 51, No. 2, 265-270 (2012). MSC: 60E15 91B30 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{J. Dhaene}, Insur. Math. Econ. 51, No. 2, 265--270 (2012; Zbl 1284.60043) Full Text: DOI
Zhu, Li; Li, Haijun Tail distortion risk and its asymptotic analysis. (English) Zbl 1284.91283 Insur. Math. Econ. 51, No. 1, 115-121 (2012). MSC: 91B30 60G70 PDFBibTeX XMLCite \textit{L. Zhu} and \textit{H. Li}, Insur. Math. Econ. 51, No. 1, 115--121 (2012; Zbl 1284.91283) Full Text: DOI
Guerra, Manuel; Centeno, M. L. Are quantile risk measures suitable for risk-transfer decisions? (English) Zbl 1262.91093 Insur. Math. Econ. 50, No. 3, 446-461 (2012). Reviewer: Ryszard Doman (Poznań) MSC: 91B30 62P05 90C90 PDFBibTeX XMLCite \textit{M. Guerra} and \textit{M. L. Centeno}, Insur. Math. Econ. 50, No. 3, 446--461 (2012; Zbl 1262.91093) Full Text: DOI
Chen, Die; Mao, Tiantian; Pan, Xiaoqing; Hu, Taizhong Extreme value behavior of aggregate dependent risks. (English) Zbl 1239.91076 Insur. Math. Econ. 50, No. 1, 99-108 (2012). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 62P05 62H20 62E20 60G70 PDFBibTeX XMLCite \textit{D. Chen} et al., Insur. Math. Econ. 50, No. 1, 99--108 (2012; Zbl 1239.91076) Full Text: DOI
Hua, Lei; Joe, Harry Second order regular variation and conditional tail expectation of multiple risks. (English) Zbl 1228.91039 Insur. Math. Econ. 49, No. 3, 537-546 (2011). MSC: 91B30 62P05 62H05 PDFBibTeX XMLCite \textit{L. Hua} and \textit{H. Joe}, Insur. Math. Econ. 49, No. 3, 537--546 (2011; Zbl 1228.91039) Full Text: DOI
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; Vernic, Raluca Asymptotics for risk capital allocations based on conditional tail expectation. (English) Zbl 1228.91029 Insur. Math. Econ. 49, No. 3, 310-324 (2011). MSC: 91B30 60G70 60E05 PDFBibTeX XMLCite \textit{A. V. Asimit} et al., Insur. Math. Econ. 49, No. 3, 310--324 (2011; Zbl 1228.91029) Full Text: DOI Link
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi Optimality of general reinsurance contracts under CTE risk measure. (English) Zbl 1218.91097 Insur. Math. Econ. 49, No. 2, 175-187 (2011). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{K. S. Tan} et al., Insur. Math. Econ. 49, No. 2, 175--187 (2011; Zbl 1218.91097) Full Text: DOI
Sendov, Hristo S.; Wang, Ying; Zitikis, Ričardas Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums. (English) Zbl 1218.91094 Insur. Math. Econ. 48, No. 2, 257-264 (2011). MSC: 91B30 PDFBibTeX XMLCite \textit{H. S. Sendov} et al., Insur. Math. Econ. 48, No. 2, 257--264 (2011; Zbl 1218.91094) Full Text: DOI arXiv
Hashorva, Enkelejd; Pakes, Anthony G.; Tang, Qihe Asymptotics of random contractions. (English) Zbl 1231.91196 Insur. Math. Econ. 47, No. 3, 405-414 (2010). MSC: 91B30 60F05 60G70 91B25 PDFBibTeX XMLCite \textit{E. Hashorva} et al., Insur. Math. Econ. 47, No. 3, 405--414 (2010; Zbl 1231.91196) Full Text: DOI arXiv
Russo, Ralph P.; Shyamalkumar, Nariankadu D. Bounds for the bias of the empirical CTE. (English) Zbl 1231.91231 Insur. Math. Econ. 47, No. 3, 352-357 (2010). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{R. P. Russo} and \textit{N. D. Shyamalkumar}, Insur. Math. Econ. 47, No. 3, 352--357 (2010; Zbl 1231.91231) Full Text: DOI
Kim, Joseph H. T. Bias correction for estimated distortion risk measure using the bootstrap. (English) Zbl 1231.62187 Insur. Math. Econ. 47, No. 2, 198-205 (2010). MSC: 62P05 91G10 62F40 65C60 PDFBibTeX XMLCite \textit{J. H. T. Kim}, Insur. Math. Econ. 47, No. 2, 198--205 (2010; Zbl 1231.62187) Full Text: DOI
Furman, Edward; Landsman, Zinoviy Multivariate Tweedie distributions and some related capital-at-risk analyses. (English) Zbl 1231.91185 Insur. Math. Econ. 46, No. 2, 351-361 (2010). MSC: 91B30 62H10 62E15 62E20 PDFBibTeX XMLCite \textit{E. Furman} and \textit{Z. Landsman}, Insur. Math. Econ. 46, No. 2, 351--361 (2010; Zbl 1231.91185) Full Text: DOI
Bolance, Catalina; Guillen, Montserrat; Pelican, Elena; Vernic, Raluca Skewed bivariate models and nonparametric estimation for the CTE risk measure. (English) Zbl 1156.91023 Insur. Math. Econ. 43, No. 3, 386-393 (2008). Reviewer: Giovanni Puccetti (Firenze) MSC: 91B30 PDFBibTeX XMLCite \textit{C. Bolance} et al., Insur. Math. Econ. 43, No. 3, 386--393 (2008; Zbl 1156.91023) Full Text: DOI
Furman, Edward; Zitikis, Ričardas Weighted premium calculation principles. (English) Zbl 1141.91509 Insur. Math. Econ. 42, No. 1, 459-465 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{E. Furman} and \textit{R. Zitikis}, Insur. Math. Econ. 42, No. 1, 459--465 (2008; Zbl 1141.91509) Full Text: DOI
Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi Optimal reinsurance under VaR and CTE risk measures. (English) Zbl 1140.91417 Insur. Math. Econ. 43, No. 1, 185-196 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Cai} et al., Insur. Math. Econ. 43, No. 1, 185--196 (2008; Zbl 1140.91417) Full Text: DOI
Jones, Bruce L.; Zitikis, Ričardas Risk measures, distortion parameters, and their empirical estimation. (English) Zbl 1193.91065 Insur. Math. Econ. 41, No. 2, 279-297 (2007). MSC: 91B30 62N02 62P05 PDFBibTeX XMLCite \textit{B. L. Jones} and \textit{R. Zitikis}, Insur. Math. Econ. 41, No. 2, 279--297 (2007; Zbl 1193.91065) Full Text: DOI
Vernic, Raluca Multivariate skew-normal distributions with applications in insurance. (English) Zbl 1132.91501 Insur. Math. Econ. 38, No. 2, 413-426 (2006). MSC: 91B30 62E10 62P05 PDFBibTeX XMLCite \textit{R. Vernic}, Insur. Math. Econ. 38, No. 2, 413--426 (2006; Zbl 1132.91501) Full Text: DOI
Furman, Edward; Landsman, Zinoviy Risk capital decomposition for a multivariate dependent gamma portfolio. (English) Zbl 1129.91025 Insur. Math. Econ. 37, No. 3, 635-649 (2005). MSC: 91B30 62E10 62P05 PDFBibTeX XMLCite \textit{E. Furman} and \textit{Z. Landsman}, Insur. Math. Econ. 37, No. 3, 635--649 (2005; Zbl 1129.91025) Full Text: DOI
Wang, Wei; Yatracos, Yannis A stop-loss risk index. (English) Zbl 1136.91492 Insur. Math. Econ. 34, No. 2, 241-250 (2004). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W. Wang} and \textit{Y. Yatracos}, Insur. Math. Econ. 34, No. 2, 241--250 (2004; Zbl 1136.91492) Full Text: DOI
Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables. (English) Zbl 1056.91037 Insur. Math. Econ. 35, No. 2, 343-367 (2004). MSC: 91B28 60E15 60J65 PDFBibTeX XMLCite \textit{M. Vanmaele} et al., Insur. Math. Econ. 35, No. 2, 343--367 (2004; Zbl 1056.91037) Full Text: DOI Link
De Waegenaere, A.; Delbaen, F. A dynamic reinsurance theory. (English) Zbl 0765.62096 Insur. Math. Econ. 11, No. 1, 31-48 (1992). Reviewer: G.Lord (Princeton) MSC: 62P05 PDFBibTeX XMLCite \textit{A. De Waegenaere} and \textit{F. Delbaen}, Insur. Math. Econ. 11, No. 1, 31--48 (1992; Zbl 0765.62096) Full Text: DOI
Beekman, John A.; Shiu, Elias S. W. Stochastic models for bond prices, function space integrals and immunization theory. (English) Zbl 0685.62085 Insur. Math. Econ. 7, No. 3, 163-173 (1988). MSC: 62P05 60J70 PDFBibTeX XMLCite \textit{J. A. Beekman} and \textit{E. S. W. Shiu}, Insur. Math. Econ. 7, No. 3, 163--173 (1988; Zbl 0685.62085) Full Text: DOI