Risk capital decomposition for a multivariate dependent gamma portfolio

By Edward Furman, Zinoviy Landsman. 2005

103 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/eb8a2ad4c793118d44d8dbb200acfb3edbc58fa6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Hélène Cossette
2. É. Marceau
3. Edward Furman
4. Mélina Mailhot
5. Jianxi Su
6. Nicola Maria Rinaldo Loperfido
7. C. Adcock
8. Michel Denuit

In Finance

1. Edward Furman
2. Hélène Cossette
3. É. Marceau
4. Mélina Mailhot
5. Jianxi Su
6. Nicola Maria Rinaldo Loperfido
7. C. Adcock
8. Michel Denuit

In Management Science and Operations Research

1. Hélène Cossette
2. É. Marceau
3. Edward Furman
4. Jianxi Su
5. Mélina Mailhot
6. Michel Denuit
7. Zinoviy Landsman
8. Arthur Chiragiev

Citations in the corpus

• SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES (2019, background): “It can be traced back to the late 1960s in the statistical literature and has proven to be useful in the study of risk measures after the pioneering work by Furman and Landsman (2005, 2008) and Furman and Zitikis (2008a,b).”
• Skewed distributions in finance and actuarial science: a review (2015, background): “Panjer (2002) studies the multivariate normal, Valdez and Chernih (2003) the multivariate elliptical, Furman and Landsman (2005) a multivariate gamma, Landsman and Valdez (2005) exponential dispersion models, Chiragiev and Landsman (2007) a multivariate Pareto distribution, and Dhaene et al. (2008)…”
• On a Multivariate Gamma Distribution (2008, background): “Namely, Furman and Landsman (2005) examine the tail conditional expectation risk measure (TCE) in the case of a multivariate gamma portfolio of risks.”
• TVaR-based capital allocation with copulas (2009, unknown): “A multivariate gamma distribution for risks has been studied in Furman and Landsman (2005) as well as a multivariate Tweedie distribution in Furman and Landsman (2007).”
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2012, methodology): “…(Panjer, 2002), multivariate elliptical distribution (Landsman and Valdez, 2003 and Dhaene et al., 2008), multivariate gamma distribution (Furman and Landsman, 2005), multivariate Tweedie distribution (Furman and Landsman, 2008), and multivariate Pareto distribution (Chiragiev and…”
• A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (2016, methodology): “Lemma 2.1 (Moschopoulos, 1985; Furman and Landsman, 2005).”
• 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 ”
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (2007, background): “It seems Cai & Li (2005) on the phase-type distributions, and Furman & Landsman (2005) on multivariate gamma model, are the only articles considered non-negative multivariate models.”
• Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “To emphasize the point, we refer the reader to Panjer and Jia (2001), 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)…”