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Multivariate skew-normal distributions with applications in insurance

JOURNAL ARTICLE published April 2006 in Insurance: Mathematics and Economics

Authors: Raluca Vernic

https://doi.org/10.1016/j.insmatheco.2005.11.001 Actions

Tail dependence for multivariate t -copulas and its monotonicity

JOURNAL ARTICLE published April 2008 in Insurance: Mathematics and Economics

Authors: Yin Chan | Haijun Li

https://doi.org/10.1016/j.insmatheco.2007.08.008 Actions

Multivariate tail conditional expectation for elliptical distributions

JOURNAL ARTICLE published September 2016 in Insurance: Mathematics and Economics

Authors: Zinoviy Landsman | Udi Makov | Tomer Shushi

https://doi.org/10.1016/j.insmatheco.2016.05.017 Actions

Risk aggregation in multivariate dependent Pareto distributions

JOURNAL ARTICLE published November 2016 in Insurance: Mathematics and Economics

Research funded by Fundación Banco Santander (APIE 1/2015-17)

Authors: José María Sarabia | Emilio Gómez-Déniz | Faustino Prieto | Vanesa Jordá

https://doi.org/10.1016/j.insmatheco.2016.07.009 Actions

A multivariate tail covariance measure for elliptical distributions

JOURNAL ARTICLE published July 2018 in Insurance: Mathematics and Economics

Research funded by Israel Science Foundation (1686/17)

Authors: Zinoviy Landsman | Udi Makov | Tomer Shushi

https://doi.org/10.1016/j.insmatheco.2018.04.002 Actions

Modelling lifetime dependence for older ages using a multivariate Pareto distribution

JOURNAL ARTICLE published September 2016 in Insurance: Mathematics and Economics

Research funded by ARC Linkage Grant Project (LP0883398) | Australian Research Council Centre of Excellence in Population Ageing Research (CE110001029)

Authors: Daniel H. Alai | Zinoviy Landsman | Michael Sherris

https://doi.org/10.1016/j.insmatheco.2016.06.016 Actions

Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions

JOURNAL ARTICLE published May 2019 in Insurance: Mathematics and Economics

Research funded by National Research Foundation of Korea (NRF-2015R1A1A1A05027336)

Authors: Joseph H.T. Kim | So-Yeun Kim

https://doi.org/10.1016/j.insmatheco.2019.02.010 Actions

Multivariate loss prediction in the multivariate additive model

JOURNAL ARTICLE published October 2006 in Insurance: Mathematics and Economics

Authors: Klaus Th. Hess | Klaus D. Schmidt | Mathias Zocher

https://doi.org/10.1016/j.insmatheco.2006.02.004 Actions

Recursions for compound phase distributions

JOURNAL ARTICLE published February 2006 in Insurance: Mathematics and Economics

Authors: Karl-Theodor Eisele

https://doi.org/10.1016/j.insmatheco.2005.08.002 Actions

Distorted Mix Method for constructing copulas with tail dependence

JOURNAL ARTICLE published July 2014 in Insurance: Mathematics and Economics

Research funded by Research Grants Council of the Hong Kong Special Administrative Region (HKU 7057/13P) | National Natural Science Foundation of China (11131002,11271033)

Authors: Lujun Li | K.C. Yuen | Jingping Yang

https://doi.org/10.1016/j.insmatheco.2014.05.002 Actions

Speedy convolution algorithms and Panjer recursions for phase-type distributions

JOURNAL ARTICLE published February 2006 in Insurance: Mathematics and Economics

Authors: Christian Hipp

https://doi.org/10.1016/j.insmatheco.2005.08.009 Actions

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

JOURNAL ARTICLE published July 2017 in Insurance: Mathematics and Economics

Research funded by Natural Sciences and Engineering Research Council (NSERC) of Canada (RGPIN-2016-03975) | National Science Foundation of China (71671176,11371340)

Authors: Jun Cai | Ying Wang | Tiantian Mao

https://doi.org/10.1016/j.insmatheco.2017.05.004 Actions

Distributions de Pareto: intérêts et limites en réassurance

JOURNAL ARTICLE published February 1993 in Insurance: Mathematics and Economics

Authors: C. Huyghues-Beaufond

https://doi.org/10.1016/0167-6687(93)91007-h Actions

On a multivariate Pareto distribution

JOURNAL ARTICLE published April 2010 in Insurance: Mathematics and Economics

Authors: Alexandru V. Asimit | Edward Furman | Raluca Vernic

https://doi.org/10.1016/j.insmatheco.2009.11.004 Actions

Claim dependence with common effects in credibility models

JOURNAL ARTICLE published June 2006 in Insurance: Mathematics and Economics

Authors: Keng Leong Yeo | Emiliano A. Valdez

https://doi.org/10.1016/j.insmatheco.2005.12.006 Actions

A solution to the ruin problem for Pareto distributions

JOURNAL ARTICLE published August 2003 in Insurance: Mathematics and Economics

Authors: Colin M. Ramsay

https://doi.org/10.1016/s0167-6687(03)00147-1 Actions

Tail asymptotic results for elliptical distributions

JOURNAL ARTICLE published August 2008 in Insurance: Mathematics and Economics

Authors: Enkelejd Hashorva

https://doi.org/10.1016/j.insmatheco.2008.04.005 Actions

Preservation of multivariate dependence under multivariate claim models

JOURNAL ARTICLE published November 1999 in Insurance: Mathematics and Economics

Authors: Taizhong Hu | Xiaoming Pan

https://doi.org/10.1016/s0167-6687(99)00032-3 Actions

The preservation of classes of discrete distributions under convolution and mixing

JOURNAL ARTICLE published April 2006 in Insurance: Mathematics and Economics

Authors: Kristina P. Pavlova | Jun Cai | Gordon E. Willmot

https://doi.org/10.1016/j.insmatheco.2005.10.001 Actions

On multivariate extensions of Conditional-Tail-Expectation

JOURNAL ARTICLE published March 2014 in Insurance: Mathematics and Economics

Authors: Areski Cousin | Elena Di Bernardino

https://doi.org/10.1016/j.insmatheco.2014.01.013 Actions
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