4 papers
Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Abdelhakim Necir, Ričardas Zitikis
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, pract…
Aggregate claims when their sizes and arrival times are dependent and governed by a general point process
Kristina P. Sendova, Ričardas Zitikis
We suggest a general method for analyzing aggregate insurance claims that arrive according to a very general point process, known in the literature as the order statistic point pro…
Revisiting Gruss's inequality: covariance bounds,QDE but not QD copulas, and central moments
Martin Egozcue, Luis Fuentes Garcia, Wing-Keung Wong +1
Since the pioneering work of Gerhard Gruss dating back to 1935, Gruss's inequality and, more generally, Gruss-type bounds for covariances have fascinated researchers and found nume…
Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums
Hristo S. Sendov, Ying Wang, Ricardas Zitikis
The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance pr…