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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

Special Issues: Computational Finance and Insurance

We review recent research results on stochastic arrangement increasing risks in financialand actuarial risk management, including allocation of deductibles and coverage limits concerned withmultiple dependent risks in an insurance policy, the independence model and the threshold models fora portfolio of defaults risks with dependence, and the optimal capital allocation for a financial institutewith multiple line of business.
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Keywords archimedean copula; capital allocation; comonotonicity; default risk; exchangeability; independence model; majorization; SAI; stochastic orders; threshold model

Citation: Chen Li, Xiaohu Li. Stochastic arrangement increasing risks in financial engineering and actuarial science – a review. Quantitative Finance and Economics, 2018, 2(1): 190-216. doi: 10.3934/QFE.2018.1.190


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