References
- Brazauskas , Vytaras , Jones , Bruce L. , Puri , Madan L. and Zitikis , Ričardas . 2007 . Estimating Conditional Tail Expectations with Actuarial Applications in View . Journal of Statistical Planning and Inference , (in press)
- Denault , Michel . 2001 . Coherent Allocation of Risk Capital . Journal of Risk , 4 : 1 – 34 .
- Furman , Edward and Landsman , Zinoviy . 2006 . Tail Variance Premium with Applications for Elliptical Portfolio of Risks . ASTIN Bulletin , 36 : 433 – 62 .
- Furman , Edward and Zitikis , Ričardas . 2007 . Weighted Premium Calculation Principles . Insurance: Mathematics and Economics , (submitted)
- Jones , Bruce L. , Puri , Madan L. and Zitikis , Ričardas . 2006 . Testing Hypotheses about the Equality of Several Risk Measure Values with Applications in Insurance . Insurance: Mathematics and Economics , 38 : 253 – 70 .
- Jones , Bruce L. and Zitikis , Ričardas . 2005 . Testing for the Order of Risk Measures: An Application of L-Statistics in Actuarial Science . Metron , 63 : 193 – 211 .
- Kotz , Samuel and Nadarajah , Saralees . 2004 . Multivariate t distributions and Their Applications , Cambridge : Cambridge University Press .
- Landsman , Zinoviy . 2004 . On the Generalization of Esscher and Variance Premiums Modified for the Elliptical Family of Distributions . Insurance: Mathematics & Economics , 35 ( 3 ) : 563 – 79 .
- Ledoux , Michel and Talagrand , Michel . 1991 . “ Probability in Banach Spaces ” . In Ergebnisse der Mathematik und ihrer Grenzgebiete , Berlin : Springer . (Results in Mathematics and Related Areas), 23
- Lehmann , Eric L. 1966 . Some Concepts of Dependence . Annals of Mathematical Statistics , 37 : 1137 – 53 .
- Panjer , Harry H. and Jing , Jia . 2001 . Solvency and Capital Allocation , University of Waterloo, Institute of Insurance and Pension Research . Research Report 01-14, 1-8.
- Patil , Ganapati P. and Rao , Calyampudi R. 1978 . Weighted Distributions and Size-Biased Sampling with Applications to Wildlife Populations and Human Families . Biometrics , 34 : 179 – 89 .
- Rao , Calyampudi R. 1997 . Statistics and Truth: Putting Chance to Work , 2nd edition , River Edge, NJ : World Scientific Publishing .
- Shalit , Haim and Yitzhaki , Shlomo . 1994 . Marginal Conditional Stochastic Dominance . Management Science , 40 : 670 – 84 .
- Schechtman , Edna , Shelef , Amit , Yitzhaki , Shlomo and Zitikis , Ričardas . 2007 . “ Testing Hypotheses about Absolute Concentration Curves and Marginal Conditional Stochastic Dominance ” . In Econometric Theory (in press)
- Wang , Shaun . 2002 . A Set of New Methods and Tools for Enterprise Risk Capital Management and Portfolio Optimization , : 43 – 78 . CAS Summer Forum, Dynamic Financial Analysis Discussion papers