کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077668 1374142 2006 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate skew-normal distributions with applications in insurance
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Multivariate skew-normal distributions with applications in insurance
چکیده انگلیسی
In this paper, we discuss the skew-normal distribution as an alternative to the classical normal one in the context of both risk measurement and capital allocation. As main risk measure, we consider the tail conditional expectation (TCE). Hence, we investigate an allocation formula based on the TCE, but we also consider Wang's [Wang, S., 2002. A set of new methods and tools for enterprise risk capital management and portfolio optimization. Working paper. SCOR reinsurance company (www.casact.com/pubs/forum/02sforum/02sf043.pdf)] allocation formula.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 2, 7 April 2006, Pages 413-426
نویسندگان
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