With motivation from Tang et al. (2011), in this paper we consider a tractable multivariate risk structure which includes the Sarmanov dependence structure as a special case. We derive several asymptotic results for both the sum and the product of such risk and then present three applications related to actuarial mathematics
Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined...
The interdependence between multiple lines of business has an important impact on determining loss r...
Thesis (Ph.D.), Washington State UniversityA central topic in modern financial and insurance mathema...
In this paper we consider an extension to the aggregation of the FGM mixed Erlang risks, proposed by...
We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent ra...
In this thesis, we are interested in the asymptotic analysis of extremes and risks. The heavy-tailed...
Asymptotic tail probabilities for linear combinations of randomly weighted order statistics are appr...
In this paper we investigate the extremal behaviour of aggregated risk for a specific parametrised m...
In this thesis, we aim at a quantitative understanding of extreme risks and extremal depen- dence in...
Properties of risk measures for extreme risks have become an important topic of research. In the pre...
International audienceModeling insurance risks is a task that received an increasing attention becau...
Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are appr...
We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMO...
Starting from the question: "What is the accident risk of an insured?", this paper considers a multi...
Starting from the question: “What is the accident risk of an insured?”, this paper considers a multi...
Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined...
The interdependence between multiple lines of business has an important impact on determining loss r...
Thesis (Ph.D.), Washington State UniversityA central topic in modern financial and insurance mathema...
In this paper we consider an extension to the aggregation of the FGM mixed Erlang risks, proposed by...
We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent ra...
In this thesis, we are interested in the asymptotic analysis of extremes and risks. The heavy-tailed...
Asymptotic tail probabilities for linear combinations of randomly weighted order statistics are appr...
In this paper we investigate the extremal behaviour of aggregated risk for a specific parametrised m...
In this thesis, we aim at a quantitative understanding of extreme risks and extremal depen- dence in...
Properties of risk measures for extreme risks have become an important topic of research. In the pre...
International audienceModeling insurance risks is a task that received an increasing attention becau...
Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are appr...
We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMO...
Starting from the question: "What is the accident risk of an insured?", this paper considers a multi...
Starting from the question: “What is the accident risk of an insured?”, this paper considers a multi...
Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined...
The interdependence between multiple lines of business has an important impact on determining loss r...
Thesis (Ph.D.), Washington State UniversityA central topic in modern financial and insurance mathema...
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