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q-fin.RM2018★ 1 cited
Approximation of Some Multivariate Risk Measures for Gaussian Risks
E. Hashorva
Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are ligh…
q-fin.RM2016
On bivariate lifetime modelling in life insurance applications
François Dufresne, Enkelejd Hashorva, Gildas Ratovomirija +1
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common…