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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio Recently, there has been growing ... experts to focus on the use of a tail conditional expectation as a measure of risk, since it shares properties ...- Authors: Edward Furman, Zinoviy Landsman
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Sequential Credibility Evaluation via Stochastic Approximation
a powerful tool for sequential estimation of zero points of a function. In this paper, this methodology ... a broad class of credibility formulae derived for the Exponential Dispersion Family. The authors further ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models