Actuarial Theory for Dependent Risks: Measures, Orders, and Models

By Collin Carbno. Technometrics, 2007

432 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3189713e655f6af7bc1657643faa20dbd733aff1

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In Demography

In Management Science and Operations Research

Citations in the corpus

Association and heterogeneity of insured lifetimes in the Lee–Carter framework (2007, background): “For more details about stochastic orderings, we refer the reader to, e.g. Denuit et al. (2005).”
Modeling Dependent Risks with Multivariate Erlang Mixtures (2009, neutral): “Related results can be found in Shaked and Shanthikumar (1994) and Denuit et al. (2005).”
TVaR-based capital allocation with copulas (2009, neutral): “in Müller and Stoyan (2002) and Denuit et al. (2005) that X ≤sd X̃ under the lower method, X̃ ≤sd X under the upper method, and X ≤icx X̃ under the mean preserving method, where ≤sd and ≤icx designate the stochastic dominance order and the increasing convex order respectively (see the same reference”
Convex order and comonotonic conditional mean risk sharing (2012, background): “See, e.g., Denuit et al. (2005).”
After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, neutral): “, Denuit et al. (2005). 2 It is also sometimes the case that important contributions can take a long time to become widely accepted.”
Analysis of ruin measures for the classical compound Poisson risk model with dependence (2010, background): “The reader may consult, e.g. Frees & Valdez (1998), Wang (1998), Bouye et al. (2000), Denuit et al. (2005), and McNeil et al. (2005) for applications of copulas in actuarial science and financial risk management.”
$L$-functions, processes, and statistics in measuring economic inequality and actuarial risks (2009, background): “, Kaas, Goovaerts, Dhaene and Denuit [53], Denuit, Dhaene, Goovaerts and Kaas [27]).”
A goodness-of-fit test for bivariate extreme-value copulas (2011, background): “They are of special interest in insurance [7], finance [6, 29] and hydrology [34], where the occurrence of joint extremes is a risk management concern.”
Copulas: A Personal View (2009, neutral): “More relevant notions of risk ordering are, for instance, to be found in Müller and Stoyan [34] and Denuit et al. [10].”
Weighted Pricing Functionals With Applications to Insurance (2009, background): “For additional information on the aforementioned axioms as well as their critique, see Young (2004) and Denuit et al. (2005) and references therein.”