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Quantitative Finance and Economics

2018, Volume 2, Issue 1: 675-701. doi: 10.3934/QFE.2018.1.190
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Stochastic arrangement increasing risks in financial engineering and actuarial science – a review

  • 1.
    School of Science, Tianjin University of Commerce, Tianjin 300134, China
  • 2.
    Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, New Jersey 07030, USA
  • Received: 13 November 2017 Accepted: 03 January 2018 Published: 13 March 2018

  • JEL Codes: G22

  • "We review recent research results on stochastic arrangement increasing risks in financial and actuarial risk management, including allocation of deductibles and coverage limits concerned with multiple dependent risks in an insurance policy, the independence model and the threshold models for a portfolio of defaults risks with dependence, and the optimal capital allocation for a financial institute with multiple line of business."

    Citation: Chen Li, Xiaohu Li. Stochastic arrangement increasing risks in financial engineering and actuarial science – a review[J]. Quantitative Finance and Economics, 2018, 2(1): 675-701. doi: 10.3934/QFE.2018.1.190

    Related Papers:

  • "We review recent research results on stochastic arrangement increasing risks in financial and actuarial risk management, including allocation of deductibles and coverage limits concerned with multiple dependent risks in an insurance policy, the independence model and the threshold models for a portfolio of defaults risks with dependence, and the optimal capital allocation for a financial institute with multiple line of business."


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  • © 2018 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
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  • 1. 

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