4700 Keele Street
Toronto, M3J 1P3
Canada
York University - Department of Mathematics and Statistics
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risk measure, variability measure, Gini shortfall, Gini capital allocation, Choquet integral.
multivariate distribution; copula; tail dependence; maximal dependence; fatal shock; multivariate Pareto; enterprise risk management.
weighted transform, weighted distribution, weighted premium calculation principle, loaded premium, distorted premium, Esscher's premium, Kamps's premium, conditional tail expectation, tail variance premium, stochastic ordering
Weighted distributions, weighted premiums, weighted allocations, Stein's lemma, general covariance decomposition, regression function
Capital Asset Pricing Model, CAPM, Beta, Stein's Lemma, Covariance Decomposition, Linear Regression
Multivariate Pareto distribution, common shock model, maximum likelihood estimation, expectation maximization algorithm, method of moments
Multivariate reduction, multivariate ladder-type gamma distributions, dependent insurance losses
Multivariate Pareto distributions, Characterizations, Mixtures, Dependence, Simultaneous Loss, Economic Weighted Pricing
Negative Binomial random variables, convolutions
log-normal distribution, convolution, generalized gamma convolution, Pad´e approximation, individual risk model, collective risk model, economic capital
Exponential dispersion models, multivariate Tweedie family, Cauchy’s functional equations, risk capital allocations, the tail conditional expectation risk measure
Economic capital allocations, tail conditional expectation risk measure, multivariate non-negative dependent risks, multivariate Tweedie distributions, multivariate compound Poisson distributions
Asymptotic dependence and independence, Capital allocation, Conditional Tail Expectation, Extreme Value Theory, Heavytailed distributions, Value-at-Risk
Gaussian copula, tail dependence, maximal dependence path
Multivariate distributions, dependence, singularity, Pareto distributions, credit risk, factor models, weighted risk functionals
Pearson correlation, weighted Gini correlation, capital asset pricing model, weighted insurance pricing model, bivariate distributions.
Weighted distributions, weighted premiums, pri ing functionals, actuarial premium calculation principles, economic premium calculation principles, capital asset pricing model, CAPM, weighted insurance pricing model, WIPM
Conditional tail expectation-based allocation, conditional geometric tail expectation-based allocation, conditional covariance, size-biased transform, standard simplex.
Weighted risk measures, weighted risk capital allocations, systematic risk
Multivariate distributions, (tail) dependence, Archimedean copulas, Marshall-Olkin copulas, factor models, default risk
Multivariate Pareto distributions, Characterizations, Dependence, Weighted Risk Measures, Minima, Maxima
aggregation, background risk model, collective risk model, copulas, measure of dependence
Multivariate Pareto distributions, characterizations, mixtures, dependence, simultaneous loss, economic weighted pricing
Layer-based risk measures, (limited) tail conditional expectation, (limited) tail standard deviation, exponential dispersion models
