Multiplicative background risk models in which the idiosyncratic risk factors are assumed to
be distributed exponentially, and the systemic risk factor has an arbitrary distribution on the …

The aim of this article is to obtain a statistical distribution that describes the aggregate
expenditure of tourists related to their length of stay at a given location. This distribution …

In this paper, we address risk aggregation and capital allocation problems in the presence of
dependence between risks. The dependence structure is defined by a mixed Bernstein …

The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk
management and in many branches of applied probability. In this paper, we obtain analytic …

The study of the distributions of sums of dependent risks is a key topic in actuarial sciences,
risk management, reliability and in many branches of applied and theoretical probability …

Risk aggregation and capital allocation are of paramount importance in business, as they
play critical roles in pricing, risk management, project financing, performance management …

We derive consistency, asymptotic normality, and standard error estimation for the tail
conditional allocation, also known as the marginal expected shortfall, under minimal …

Determining aggregate risk capital is a fundamental problem of modern Enterprise Risk
Management, and the determination process has been fairly well studied. The allocation …

In Indonesia, natural disasters cases have significantly increased from time to time and have
the largest impact on economic losses. To avoid losses in the future due to natural disasters …

Choosing proper projects has a great impact on organizational success. Firms have various
factors for choosing projects based on their different objectives and strategies. The problem …