Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
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Cited by:
- Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020.
"On a robust risk measurement approach for capital determination errors minimization,"
Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
- Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
- Jaume Belles-Sampera & Montserrat Guillen & Miguel Santolino, 2023. "Haircut Capital Allocation as the Solution of a Quadratic Optimisation Problem," Mathematics, MDPI, vol. 11(18), pages 1-17, September.
- Cai, Jun & Wang, Ying, 2021. "Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 329-349.
- Frostig, Esther & Zaks, Yaniv & Levikson, Benny, 2007. "Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 459-467, May.
- Xu, Maochao & Hu, Taizhong, 2012. "Stochastic comparisons of capital allocations with applications," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 293-298.
- Jiří Valecký, 2016. "Modelling Claim Frequency in Vehicle Insurance," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(2), pages 683-689.
- Jiří Valecký, 2017. "Calculation of Solvency Capital Requirements for Non-life Underwriting Risk Using Generalized Linear Models," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(4), pages 450-466.
- Zaks, Yaniv & Tsanakas, Andreas, 2014. "Optimal capital allocation in a hierarchical corporate structure," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 48-55.
- Xu, Maochao & Mao, Tiantian, 2013. "Optimal capital allocation based on the Tail Mean–Variance model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 533-543.
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