Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks

By Werner Hürlimann. 2001

47 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/fe683efa15a0b153c802102ba542bd456ed449a2

How researchers see this paper

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In Economics and Econometrics

1. Edward Furman

In Finance

1. Edward Furman
2. Xiaohu Li
3. Jianxi Su

In Management Science and Operations Research

1. Subhash C. Kochar
2. Xiaohu Li
3. Edward Furman
4. Moshe Shaked
5. Maochao Xu
6. Jorge Navarro
7. Jianxi Su

Citations in the corpus

• 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 ”
• The total time on test transform and the excess wealth stochastic orders of distributions (2002, background): “Keywords: Excess wealth order; right-spread order; Lorenz order; NBUE; increasing convex and concave orders; series and parallel systems; HNBUE; economic inequality measure; empirical TTT transform; test for ‘more NBUE’ AMS 2000 Subject Classification: Primary 60E15; 62N05”
• On a Multivariate Gamma Distribution (2008, background): “As a result, there are numerous examples of applying gamma approximations for modeling insurance portfolios (cf., e.g., Hürlimann (2001); Melnick and Tenenbein (2000) and Rioux and Klugman (2004)).”