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Stochastic arrangement increasing risks in financial engineering and actuarial science – a review

Authors :
Chen Li
Xiaohu Li
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