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Stochastic arrangement increasing risks in financial engineering and actuarial science – a review
- Source :
- Quantitative Finance and Economics, Vol 2, Iss 1, Pp 190-216 (2018)
- Publication Year :
- 2018
- Publisher :
- AIMS Press, 2018.
-
Abstract
- We review recent research results on stochastic arrangement increasing risks in financialand actuarial risk management, including allocation of deductibles and coverage limits concerned withmultiple dependent risks in an insurance policy, the independence model and the threshold models fora portfolio of defaults risks with dependence, and the optimal capital allocation for a financial institutewith multiple line of business.
Details
- Language :
- English
- ISSN :
- 25730134
- Volume :
- 2
- Issue :
- 1
- Database :
- Directory of Open Access Journals
- Journal :
- Quantitative Finance and Economics
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.14cc6689c05440eea7c102635e49b54c
- Document Type :
- article
- Full Text :
- https://doi.org/10.3934/QFE.2018.1.190/fulltext.html