Multivariate skew-normal distributions with applications in insurance
By Raluca Vernic. 2006
123 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/d7c1a5386faf64a2d98656109ff230e06fcee330
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Edward Furman
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Ricardas Zitikis
- Martin Eling
- M. Delignette-Muller
- Andreas Kleefeld
- Vytaras Brazauskas
In Economics and Econometrics
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Edward Furman
- Ricardas Zitikis
- Martin Eling
- Andreas Kleefeld
- R. Faust
- M. Delignette-Muller
In Management Science and Operations Research
- Edward Furman
- Ricardas Zitikis
- Nicola Maria Rinaldo Loperfido
- Martin Eling
- C. Adcock
- Adelchi Azzalini
- Jianxi Su
- Michel Denuit
Citations in the corpus
- Skewed distributions in finance and actuarial science: a review (2015, methodology): “Vernic (2006) extends this stream of literature by considering the TCE for the MSN distribution.”
- Estimation of the marginal expected shortfall: the mean when a related variable is extreme (2012, unknown): “Vernic (2006) considers skewed-normal distributions.”
- Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “…Landsman and Valdez (2003), Valdez and Chernih (2003), Cai and Li (2005), Furman and Landsman (2005, 2006, 2008), Chiragiev and Landsman (2007), Vernic (2006, 2011) and Dhaene et al. (2008) for analytic expressions for (1.1) under specific multivariate distributions of a multi-line business…”
- Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? (2012, background): “In general, however, insurance risks have skewed distributions, which is why in many cases the normal distribution is not an appropriate model for insurance risks or losses (see, e.g., Lane, 2000; Vernic, 2006).”
- Weighted Pricing Functionals With Applications to Insurance (2009, background): “For details on the topic, see Panjer and Jing (2001), Panjer (2002), Landsman and Valdez (2005), Cai and Li (2005), Chiragiev and Landsman (2007), Furman and Landsman (2008), Vernic (2008), Dhaene et al. (2008), and Furman and Zitikis (2008b), and references therein.”
- Weighted Risk Capital Allocations (2008, unknown): “For results, which are mainly related to TCEtype capital allocations, we refer to Hurlimann (2001), Panjer and Jing (2001), Panjer (2002), Landsman and Valdez (2003), Cai and Li (2005), Furman and Landsman (2005, 2007), Chiragiev and Landsman (2007), Vernic (2008) and Dhaene et al. (2008a,b), and ”