Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Jianxi Su"'
Publikováno v:
Risks, Vol 6, Iss 3, p 79 (2018)
One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-s
Externí odkaz:
https://doaj.org/article/97e03932cfec4125ba35ed1664a95204
Publikováno v:
European Journal of Operational Research. 305:1273-1291
Publikováno v:
Journal of Risk and Insurance. 88:625-663
This paper pertains to a class of nonparametric methods for studying the misrepresentation issue in insurance applications. For this purpose, mixture models based on quantile regression in reproducing kernel Hilbert spaces are employed. Compared with
Publikováno v:
European Actuarial Journal. 11:503-539
Claims modeling is a classical actuarial task aimed to understand the claim distribution given a set of risk factors. Yet some risk factors may be subject to misrepresentation, giving rise to bias in the estimated risk effects. Motivated by the uniqu
Publikováno v:
Insurance: Mathematics and Economics. 96:153-167
Multiplicative background risk models in which the idiosyncratic risk factors are assumed to be distributed exponentially, and the systemic risk factor has an arbitrary distribution on the non-negative half of the real line have seen a great variety
Publikováno v:
North American Actuarial Journal. 25:631-636
Professor Denuit should be congratulated for having prepared a timely and well-written paper that combines a variety of existing results on the notion of the univariate size-biased transform of ord...
Publikováno v:
Insurance: Mathematics and Economics. 95:129-146
A chain of reinsurance is a hierarchical system formed by the subsequent interactions among multiple (re)insurance agents, which is quite often encountered in practice. This paper proposes a novel continuous-time framework for studying the optimal re
Publikováno v:
North American Actuarial Journal. 25:395-416
In the current reality of prudent risk management, the problem of determining aggregate risk capital in financial entities has been intensively studied. As a result, canonical methods have been dev...
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
North American Actuarial Journal. 23:598-625
In this article, we study the strategic planning problem for a wage earner in a life-cycle model with stochastic lifetime. The wage earner aims to decide on the optimal portfolio choice, consumptio...