Browse Research

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2012

Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures

2012

Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

2012

Portfolio selection through an extremality stochastic order

2012

Second-order expansions of the risk concentration based on CTE

2012

Jackknife empirical likelihood method for some risk measures and related quantities

2012

Tail distortion risk and its asymptotic analysis

2012

Determinants of Corporate Diversification: Evidence From the Property-Liability Insurance Industry

2012

Reinsurance Purchases, Contingent Commission Payments and Insurer Reserve Estimation

2012

Optimal reinsurance with positively dependent risks

2012

Capital Structure in the Property-Liability Insurance Industry: Tests of the Tradeoff and Pecking Order Theories

2012

The Role of RBC, Hurricane Exposure, Bond Portfolio Duration, and Macroeconomic and Industry-wide Factors in Property-Liability Insolvency Prediction

2012

Optimal reinsurance under variance related premium principles

2012

TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

2012

Alarm system for insurance companies: A strategy for capital allocation

2012

Dynamic hedging of conditional value-at-risk

2012

Computing bounds on the expected payoff of Alternative Risk Transfer products

2012

Stochastic comparisons of capital allocations with applications

2012

Pricing for Multiline Insurer: Frictional Costs, Insolvency, and Asset Allocation

2012

Capital Structure in the Property-Liability Insurance Industry: Tests of the Tradeoff and Pecking Order Theories

2012

The Role of RBC, Hurricane Exposure, Bond Portfolio Duration, and Macroeconomic and Industry-wide Factors in Property-Liability Insolvency Prediction

2012

TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

2012

Alarm system for insurance companies: A strategy for capital allocation

2012

Stochastic comparisons of capital allocations with applications

2012

Determinants of Corporate Diversification: Evidence From the Property-Liability Insurance Industry

2012

Reinsurance Purchases, Contingent Commission Payments and Insurer Reserve Estimation