Modern Actuarial Risk Theory

By Rob Kaas, Marc J. Goovaerts, Jan Dhaene, Michel Denuit. 2001

523 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/a77f9f95b7a150f1c46f994db4b15e0765f41dd3

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Citations in the corpus

Optimality of general reinsurance contracts under CTE risk measure (2011, unknown): “It states that pure stop-loss reinsurance is the optimal treaty in the sense that it yields the least variance of the insurer’s retained loss among all the treaties with the same pure premium; see, for example Kaas et al. (2001).”
Decision principles derived from risk measures (2010, background): “An example of such a mixture is the spectral risk measure.”
Nonlife Ratemaking and Risk Management with Bayesian Additive Models for Location, Scale and Shape (2013, background): “See, e.g., Chapter 2 in Kaas et al. (2008) for an introduction.”
Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends (2003, unknown): “The inverse Gaussian distribution can be found in other actuarial books such as Kaas et al. (2001), Klugman, Panjer, and Willmot (1998), and Panjer and Willmot (1992). Two recent actuarial papers in which the distribution plays a prominent role are Dickson and Waters (2002) and Gerber and Shiu (2003”
$L$-functions, processes, and statistics in measuring economic inequality and actuarial risks (2009, unknown): “…economic inequality as well as risk measures of actuarial science, especially those that are related to the distorted expectation theory or, in other words, Yaari's [93] dual theory of choice under risk (see, e.g., Kaas, Goovaerts, Dhaene and Denuit [53]; Denuit, Dhaene, Goovaerts and Kaas [27]).”
Economic Capital Allocation Derived from Risk Measures (2002, unknown): “From the results on comonotonic risks (see Kaas et al. 2001, section 10.6), it immediately follows that the solutions of the problem of maximizing the conglomerate risk and minimizing the sum of the risks of the daughter companies both give the same value of the problems E X1 c X2 c · · · Xn c…”
On The Expected Discounted Penalty function for Lévy Risk Processes (2006, unknown): “For an account on the classical risk model we refer to Grandell (1991), Asmussen (2000) or Kaas et al. (2001).”
Entropic Value-at-Risk: A New Coherent Risk Measure (2012, unknown): “In this field, premium principles are common risk measures; see, for example [18] and Chapter 5 in [19].”