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 …

In an insurance context, one is often interested in the distribution function of a sum of
random variables (rv's). Such a sum appears when considering the aggregate claims of an …

The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …

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 …

Longevity risk is a major issue for insurers and pension funds, especially in the selling of
annuity products. In that respect, securitization of this risk could offer great opportunities for …

This report summarizes methods to incorporate information (or lack of information) about
inter-variable dependence into risk assessments that use Dempster-Shafer theory or …

Risk aggregation with dependence uncertainty refers to the sum of individual risks with
known marginal distributions and unspecified dependence structure. We introduce the …

We study bounds on the Value‐at‐Risk (VaR) of a portfolio when besides the marginal
distributions of the components its variance is also known, a situation that is of considerable …

Determining the price of a basket option is not a trivial task, because there is no explicit
analytical expression available for the distribution of the weighted sum of prices of the assets …

Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working
paper, Technische Universität München] introduces a capital allocation principle where the …