Results 11 to 20 of about 122 (117)
How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk
Risks, 2016 Reinsurance is often empirically hailed as a value-adding risk management strategy which an insurer can utilize to achieve various business objectives.
Ambrose Lo
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Insurance: Mathematics and Economics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jouini, Elyès, Napp, Clotilde
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Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof
Risks, 2016 It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal ...
Chuancun Yin, Dan Zhu
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Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Giovanni Puccetti 0001, Marco Scarsini
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Competitive equilibria in a comonotone market [PDF]
Economic Theory, 2017 AbstractWe investigate competitive equilibria in a special type of incomplete markets, referred to as a comonotone market, where agents can only trade such that their risk allocation is comonotonic. The comonotone market is motivated by the no-sabotage condition.
Tim J. Boonen, Fangda Liu, Ruodu Wang
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Measuring herd behavior: properties and pitfalls
Dependence Modeling, 2017 Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. Prior studies propose several measures to quantify herd behavior.
Lee Woojoo, Ahn Jae Youn
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The comonotonic sure-thing principle [PDF]
Journal of Risk and Uncertainty, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chew, Soo Hong, Wakker, P.
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Bounds of Adj-TVaR Prediction for Aggregate Risk
InPrime, 2019 In financial and insurance industries, risks may come from several sources. It is therefore important to predict future risk by using the concept of aggregate risk.
Khreshna Syuhada
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Nearly Comonotone Approximation
Journal of Approximation Theory, 1998 Let \(I=[-1,1]\) and for \(s\geq 1\) let \(Y=\{y_i\}_{i=0}^s,- 1 ...
Leviatan, D., Shevchuk, I.A.
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Discrete Integrals Based on Comonotonic Modularity [PDF]
Axioms, 2013 It is known that several discrete integrals, including the Choquet and Sugeno integrals, as well as some of their generalizations, are comonotonically modular functions. Based on a recent description of the class of comonotonically modular functions, we axiomatically identify more general families of discrete integrals that are comonotonically modular,
Couceiro, Miguel, Marichal, Jean-Luc
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