文章基本信息

标题：Stochastic arrangement increasing risks in financial engineering and actuarial science – a review
本地全文：下载
作者：Victoria Valentina ; Nurheni Sri Palupi ; Nuri Andarwulan 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2018
卷号：2
期号：1
页码：675-701
DOI：10.3934/QFE.2018.1.190
语种：English
出版社：AIMS Press
摘要："We review recent research results on stochastic arrangement increasing risks in financial and actuarial risk management, including allocation of deductibles and coverage limits concerned with multiple dependent risks in an insurance policy, the independence model and the threshold models for a portfolio of defaults risks with dependence, and the optimal capital allocation for a financial institute with multiple line of business.
关键词：archimedean copula;capital allocation;comonotonicity;default risk;exchangeability;independence model;majorization;SAI;stochastic orders;threshold model