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The concept of comonotonicity in Actuarial Science and Finance: Theory
In an insurance context, one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over aExpand
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Risk Measures and Comonotonicity: A Review
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. SpecialExpand
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Upper and Lower Bounds for Sums of Random Variables.
In this contribution, the upper bounds for sums of dependent random variables X1 + X2 +...+ Xn derived by using comonotonicity are sharpened for the case when there exists a random variable Z suchExpand
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Dependency of risks and stop-loss order.
The correlation order, which is defined as a partial order between bivariate distributions with equal marginals, is shown to be a helpfull tool for deriving results concerning the riskiness of portfolios with pairwise dependencies. Expand
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Modern Actuarial Risk Theory: Using R
Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective modelExpand
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Modern Actuarial Risk Theory
Apart from standard actuarial theory, this text contains methods that are relevant for actuarial practice, as well as generalised linear models with an eye on actuarial applications.
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Insurance: Mathematics and Economics
This article has no abstract. Keywords: actuarial journals; insurance mathematics; insurance economics
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Static Hedging of Asian Options under Lévy Models
The Asian option pricing problem is a lot like the American put problem in the 1970s. An Asian payoff is a rather simple, and common, option feature, but it messes up our clean, closed-form valuationExpand
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Ordering of actuarial risks
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A new premium calculation principle based on Orlicz norms
Abstract A multiplicative equivalent of the zero utility premium calculation principle is introduced. If the utility function happens to be a normalized Young function the new premium calculationExpand
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