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Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory insurance Wang transform
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables,
which preserve the property of coherence. The first, based on distorted expectations, operates ...
The first passage event for sums of dependent Lévy processes with applications to insurance risk
First passage event fluctuation theory ladder process multivariate L´ evy process
2010/11/3
For the sum process X = X1 + X2 of a bivariate L´evy process (X1,X2) with possibly dependent components, we derive a quintuple law describing the first upwards passage event of X over a fixed ba...