![Multivariate skew-normal distributions with applications in insurance [An article from: Insurance Mathematics and Economics]](https://www.ebooknetworking.net/books/B00/0RR/bigB000RR9EZI.jpg)
Multivariate skew-normal distributions with applications in insurance [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)R. Vernic
PublisherElsevier
ISBN / ASINB000RR9EZI
ISBN-13978B000RR9EZ5
AvailabilityAvailable for download now
Sales Rank11,749,374
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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. rmula.
Description:
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. rmula.
