Capital Allocation Rules and Generalized Collapse to the Mean
"In the [#riskmanagement] context of #capitalallocation principles for (not necessarily coherent) #riskmeasures, we derive - under mild...
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16 févr. 2023
Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers
This article offers a #riskmanagement framework specifically designed for the #insurance and #reinsurance industries to analyze the...
13 sept. 2022
Convex Risk Measures for the Aggregation of Multiple Information and Applications in Insurance
"The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and...
27 janv. 2022
Multivariate matrix-exponential affine mixtures and their applications in risk theory
"... results are applied in a wide range of actuarial problems including multivariate risk measures, aggregate loss, large claims...
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