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Tail variance and confidence of using tail conditional expectation: analytical representation, capital adequacy, and asymptotics
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- Advances in Applied Probability , First View
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- 31 July 2024, pp. 1-25
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Optimizing insurance risk assessment: a regression model based on a risk-loaded approach
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- Annals of Actuarial Science , First View
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- 31 May 2024, pp. 1-14
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Modelling random vectors of dependent risks with different elliptical components
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- Annals of Actuarial Science / Volume 16 / Issue 1 / March 2022
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- 22 February 2021, pp. 6-24
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Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
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- ASTIN Bulletin: The Journal of the IAA / Volume 38 / Issue 2 / November 2008
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- 17 April 2015, pp. 601-619
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- November 2008
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Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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- ASTIN Bulletin: The Journal of the IAA / Volume 36 / Issue 2 / November 2006
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- 17 April 2015, pp. 433-462
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- November 2006
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Tail Conditional Expectations for Exponential Dispersion Models
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- ASTIN Bulletin: The Journal of the IAA / Volume 35 / Issue 1 / May 2005
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- 17 April 2015, pp. 189-209
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- May 2005
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Second Order Bayes Prediction of Functionals of Exponential Dispersion Distributions and an Application to the Prediction of the Tails
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 34 / Issue 2 / November 2004
- Published online by Cambridge University Press:
- 17 April 2015, pp. 285-298
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- November 2004
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