6 results
BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 47 / Issue 3 / September 2017
- Published online by Cambridge University Press:
- 07 August 2017, pp. 919-942
- Print publication:
- September 2017
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A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 47 / Issue 1 / January 2017
- Published online by Cambridge University Press:
- 31 August 2016, pp. 331-357
- Print publication:
- January 2017
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PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 45 / Issue 3 / September 2015
- Published online by Cambridge University Press:
- 19 June 2015, pp. 661-678
- Print publication:
- September 2015
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General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 40 / Issue 1 / May 2010
- Published online by Cambridge University Press:
- 09 August 2013, pp. 369-375
- Print publication:
- May 2010
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Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 38 / Issue 2 / November 2008
- Published online by Cambridge University Press:
- 17 April 2015, pp. 601-619
- Print publication:
- November 2008
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Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 36 / Issue 2 / November 2006
- Published online by Cambridge University Press:
- 17 April 2015, pp. 433-462
- Print publication:
- November 2006
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