Ace02

Carlo Acerbi. Spectral measures of risk: A coherent representation of subjective risk aversion. Journal of Banking & Finance, 26(7):1505–1518, jul 2002. URL: http://linkinghub.elsevier.com/retrieve/pii/S0378426602002819, doi:10.1016/S0378-4266(02)00281-9.

ABT17

Hansjörg Albrecher, Jan Beirlant, and Jozef L Teugels. Reinsurance: Actuarial and Statistical Aspects. John Wiley & Sons, 2017.

AD88

RR Anderson and Wemin Dong. Pricing catastrophe reinsurance with reinstatement provisions using a catastrophe model. Casualty Actuarial Society Forum, pages 303–322, 1988.

AGK19

Richard Arratia, Larry Goldstein, and Fred Kochman. Size bias for one and all. Probability Surveys, 16:1–61, 2019. arXiv:1308.2729, doi:10.1214/13-PS221.

Bah15

David Bahnemann. Distributions for Actuaries. Casualty Actuarial Society Mongraphs No. 2, 2015. ISBN 9780962476280. URL: www.casact.org.

BN90

R.A. Bear and K.J. Nemlick. Pricing the impact of adjustable features and loss sharing provisions of reinsurance treaties. Proceedings of the Casualty Actuarial Society, 77(147):86–87, 1990. doi:10.1016/0167-6687(93)91078-9.

Ber97

Stefan Bernegger. The Swiss Re exposure curves and the MBBEFD distribution class. ASTIN Bulletin, 27(1):99–111, 1997.

Ber83

J Bertram. Calculations of aggregate claims distributions in case of negative risk sums. In 17th ASTIN Colloquium, Lindau, Germany. 1983.

Bil86

Patrick Billingsley. Probability and Measure. J. Wiley and Sons, second edition, 1986.

Bod07

Neil M. Bodoff. Capital Allocation by Percentile Layer. Variance, 3(1):13–30, 2007.

BTWuthrich17

Tim J. Boonen, Andreas Tsanakas, and Mario V. Wüthrich. Capital allocation for portfolios with non-linear risk aggregation. Insurance: Mathematics and Economics, 72:95–106, 2017. doi:10.1016/j.insmatheco.2016.11.003.

BV10

Jonathan M Borwein and Jon D Vanderwerff. Convex Functions - Construction, Characterizations and Counterexamples. Cambridge University Press, 2010. ISBN 9780521850056.

BGH+97

Newton Bowers, Hans Gerber, James Hickman, Donald Jones, and Cecil Nesbitt. Actuarial Mathematics. Society of Actuaries, 1997. doi:10.2307/253313.

BPVS07

Paul J Brehm, Geoffrey R Perry, Gary G Venter, and E Witcraft Susan. Enterprise risk analysis for property & liability insurance companies. Guy Carpenter & Company, LLC, 2007.

But94

Robert P Butsic. Solvency Measurement for Property-Liability Risk-Based Capital Applications. The Journal of Risk and Insurance, 61(4):656–690, 1994. URL: http://www.jstor.org/stable/253643%5Cnhttp://www.jstor.org/page/.

Buhlmann84

Hans Bühlmann. Numerical evaluation of the compound Poisson distribution: Recursion or fast fourier transform? Scandinavian Actuarial Journal, 1984(2):116–126, 1984. doi:10.1080/03461238.1984.10413759.

CJP13

Luciano Campi, Elyès Jouini, and Vincent Porte. Efficient portfolios in financial markets with proportional transaction costs. Mathematics and Financial Economics, 7(3):281–304, 2013. doi:10.1007/s11579-013-0099-4.

CD03

G. Carlier and R. A. Dana. Core of convex distortions of a probability. Journal of Economic Theory, 113(2):199–222, 2003. doi:10.1016/S0022-0531(03)00122-4.

CM99

Peter Carr and Dilip Madan. Option valuation using the fast Fourier transform. The Journal of Computational Finance, 2(4):61–73, 1999. doi:10.21314/jcf.1999.043.

Car13

Robert L Carter. Reinsurance. Springer Science & Business Media, 2013.

CO11

Alexander Cherny and Dmitri Orlov. On two approaches to coherent risk contribution. Mathematical Finance, 21(3):557–571, 2011. doi:10.1111/j.1467-9965.2010.00441.x.

Cla14

David R Clark. Basics of Reinsurance Pricing Actuarial Study Note. CAS Study Note, 2014. URL: http://www.casact.org/library/studynotes/Clark_2014.pdf.

CT04

David R Clark and Charles A Thayer. A primer on the exponential family of distributions. Casualty Actuarial Society Spring Forum, pages 117–148, 2004. URL: papers2://publication/uuid/C7FF0B8F-F767-4F09-9714-F0D3711A30D8.

Con99

W J Conover. Practical nonparametric statistics. John Wiley and Sons, third edition, 1999.

CS73

P. C. Consul and L. R. Shenton. Some interesting properties of Lagrangian distributions. Communications in Statistics, 2(3):263–272, 1973. doi:10.1080/03610927308827073.

CODonnell09

Christopher L. Culp and Kevin J. O'Donnell. Catastrophe reinsurance and risk capital in the wake of the credit crisis. The Journal of Risk Finance, 10(5):430–459, 2009. URL: http://www.emeraldinsight.com/10.1108/15265940911001367, doi:10.1108/15265940911001367.

CP05

J. David Cummins and Richard D. Phillips. Estimating the Cost of Equity Capital for Property-Liability Insurers. Journal of Risk and Insurance, 72(3):441–478, 2005. URL: http://onlinelibrary.wiley.com/doi/10.1111/j.1539-6975.2005.00132.x/full.

DPP93

Chris D Daykin, Teivo Pentikainen, and Martti Pesonen. Practical risk theory for actuaries. Chapman and Hall/CRC, 1993.

Del00

Freddy Delbaen. Coherent risk measures (Pisa Notes). Pisa Notes, 24(4):733–739, 2000. doi:10.1007/BF02809088.

Den01

Michel Denault. Coherent allocation of risk capital. The Journal of Risk, 4(1):1–34, 2001. URL: ftp://ftp.sam.math.ethz.ch/pub/risklab/papers/CoherentAllocation.pdf, doi:10.21314/jor.2001.053.

Den19

Michel Denuit. Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines. ASTIN Bulletin, 49(3):591–617, 2019. doi:10.1017/asb.2019.24.

DD12

Michel Denuit and Jan Dhaene. Convex order and comonotonic conditional mean risk sharing. Insurance: Mathematics and Economics, 51(2):265–270, 2012. URL: http://dx.doi.org/10.1016/j.insmatheco.2012.04.005, doi:10.1016/j.insmatheco.2012.04.005.

DHR22

Michel Denuit, Peter Hieber, and Christian Y. Robert. Mortality Credits Within Large Survivor Funds. ASTIN Bulletin, 52(3):813–834, 2022. doi:10.1017/asb.2022.13.

DR20

Michel M. Denuit and C Y Robert. Risk Reduction by Conditional Mean Risk Sharing With Application to Collaborative Insurance. Technical Report, UC Louvain, 2020.

DKLT12

Jan Dhaene, Alexander Kukush, Daniel Linders, and Qihe Tang. Remarks on quantiles and distortion risk measures. European Actuarial Journal, 2(2):319–328, 2012.

DHardleG12

Jin Chuan Duan, Wolfgang Karl Härdle, and James E. Gentle. Handbook of computational finance. Handbook of Computational Finance, pages 1–804, 2012. doi:10.1007/978-3-642-17254-0.

EGrubelP93

P. Embrechts, R. Grübel, and S. M. Pitts. Some applications of the fast Fourier transform algorithm in insurance mathematics. Statistica Neerlandica, 47(1):59–75, 1993. doi:10.1111/j.1467-9574.1993.tb01406.x.

EF09

Paul Embrechts and Marco Frei. Panjer recursion versus FFT for compound distributions. Mathematical Methods of Operations Research, 69(3):497–508, 2009. doi:10.1007/s00186-008-0249-2.

EKluppelbergM97

Paul Embrechts, Claudia Klüppelberg, and Thomas Mikosch. Modelling Extremal Events. Springer Verlag, Berlin Heidelberg, 1997. doi:10.1007/978-3-642-33483-2.

EPR13

Paul Embrechts, Giovanni Puccetti, and Ludger Ruschendorf. Model uncertainty and VaR aggregation. Journal of Banking and Finance, 37(8):2750–2764, 2013. doi:10.1016/j.jbankfin.2013.03.014.

Fel71

William Feller. An Introduction to Probability Theory and its Applications, Volume 2. J. Wiley and Sons, second edition, 1971. ISBN 0471257095.

FMPP19

Ginda Fisher, Lawrence McTaggart, Jill Petker, and Rebecca Pettingell. Individual Risk Rating Study Note. CAS Exam 8 Study Note, 2019.

FollmerS11

Hans Föllmer and Alexander Schied. Stochastic finance: an introduction in discrete time. Walter de Gruyter, third edit edition, 2011.

FollmerS16

Hans Föllmer and Alexander Schied. Stochastic Finance: An Introduction in Discrete Time. Walter de Gruyter, Berlin, Boston, fourth edition, 2016. ISBN 9788578110796. arXiv:arXiv:1011.1669v3, doi:10.1017/CBO9781107415324.004.

Ger82

Hans U. Gerber. On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums. Insurance Mathematics and Economics, 1(1):13–18, 1982. doi:10.1016/0167-6687(82)90016-6.

Gra97

Jan Grandell. Mixed poisson processes. Volume 77. CRC Press, 1997.

GS07

Helmut Grundl and Hato Schmeiser. Capital allocation for insurance companies—What Good Is It? Journal of Risk and Insurance, 2007. URL: http://www.jstor.org/stable/2691539.

GrubelH99

Rudolf Grübel and Renate Hermesmeier. Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting. Astin Bulletin, 29(2):197–214, 1999. doi:10.2143/AST.29.2.504611.

GrubelH00

Rudolf Grübel and Renate Hermesmeier. Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation. ASTIN Bulletin, 30(2):309–332, 2000. doi:10.2143/AST.30.2.504638.

HM83

Philip E Heckman and Glenn G Meyers. The calculation of aggregate loss distributions from claim severity and claim count distributions. Proceedings of the Casualty Actuarial Society, pages 49–66, 1983.

HC03

David L Homer and David R Clark. Insurance Applications of Bivariate Distributions. Proceedings of the Casualty Actuarial Society, 90(iid):274–307, 2003. URL: http://www.casact.org/pubs/proceed/proceed03/03274.pdf.

HF96

Rob J. Hyndman and Yanan Fan. Sample Quantiles in Statistical Packages. American Statistician, 50(4):361–365, 1996. doi:10.1080/00031305.1996.10473566.

Hurlimann86

W. Hürlimann. Error Bounds for Stop-loss Premiums Calculated with the Fast Fourier Transform. Scandinavian Actuarial Journal, 1986(2):107–113, 1986. doi:10.1080/03461238.1986.10413798.

IJW10

Rustam Ibragimov, Dwight Jaffee, and Johan Walden. Pricing and Capital Allocation for Multiline Insurance Firms. Journal of Risk and Insurance, 77(3):551–578, mar 2010. URL: http://doi.wiley.com/10.1111/j.1539-6975.2010.01353.x, doi:10.1111/j.1539-6975.2010.01353.x.

Jew22a

Stephen Jewson. Application of uncertain hurricane climate change projections to catastrophe risk models. Stochastic Environmental Research and Risk Assessment, 2022. URL: https://doi.org/10.1007/s00477-022-02198-y, doi:10.1007/s00477-022-02198-y.

Jew22b

Stephen Jewson. Projections of Changes in U.S. Hurricane Damage Due to Projected Changes in Hurricane Frequencies. submitted, 2022.

JKK05

Norman L Johnson, Samuel Kotz, and Adrienne W Kemp. Univariate discrete distributions. John Wiley & Sons, 2005.

JK01

Elyès Jouini and Hédi Kallal. Efficient trading strategies in the presence of market frictions. Review of Financial Studies, 14(2):343–369, 2001. doi:10.1093/rfs/14.2.343.

Jorgensen97

Bent Jørgensen. The theory of dispersion models. CRC Press, 1997.

KGDD08

Rob Kaas, Marc Goovaerts, Jan Dhaene, and Michel Denuit. Modern Actuarial Risk Theory. Springer, 2008. ISBN 978-3-540-70992-3. arXiv:arXiv:1011.1669v3, doi:10.1007/978-3-540-70998-5.

KPW19

Stuart A Klugman, Harry H Panjer, and Gordon E Willmot. Loss Models: From Data to Decisions. Volume 715. John Wiley & Sons, 5 edition, 2019.

Kus01

Shigeo Kusuoka. On law invariant coherent risk measures. Advances in Mathematical Economics, 3:83–95, 2001. URL: http://link.springer.com/chapter/10.1007/978-4-431-67891-5_4.

Korner22

Thomas William Körner. Fourier analysis. Cambridge university press, 2022.

Loe55

Michel Loeve. Probability Theory. D. Van Nostrand Company, 1955. ISBN 9780486814889. doi:10.1137/1006078.

Loe17

Michel Loeve. Probability theory. Courier Dover Publications, 2017.

Lud91

Stephen J Ludwig. An Exposure Rating Approach to Pricing Excess-Of-Loss Reinsurance. Proceedings of the Casualty Actuarial Society, 1991.

Luk70

Eugene Lukacs. Characteristic Functions. Griffin, London, 2 edition, 1970.

LS09

Xiaolin Luo and Pavel V Shevchenko. Computing Tails of Compound Distributions Using Direct Numerical Integration. Journal of Computational Finance, 13(2):1–33, 2009.

LS11

Xiaolin Luo and Pavel V Shevchenko. A Short Tale of Long Tail Integration. Numerical Algorithms, 56(4):577–590, 2011. arXiv:arXiv:1005.1705v1.

Maj18

John A. Major. Distortion Measures on Homogeneous Financial Derivatives. Insurance: Mathematics and Economics, 79:82–91, 2018. URL: http://www.ssrn.com/abstract=2972955 http://linkinghub.elsevier.com/retrieve/pii/S0167668717303384, doi:10.2139/ssrn.2972955.

MM20

John A. Major and Stephen J. Mildenhall. Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market. Arxiv, pages 1–33, 2020. URL: http://arxiv.org/abs/2008.12427, arXiv:2008.12427.

MAKL95

Paul Malliavin, Hélène Airault, Leslie Kay, and Gérard Letac. Integration and probability. Volume 157. Springer Science & Business Media, 1995.

Man05

Donald Mango. Insurance Capital as a Shared Asset. Astin Bulletin, 35(2):471–486, 2005. URL: https://www.beanactuary.com/pubs/forum/06fforum/577.pdf.

MMAB13

Donald Mango, John Major, Avraham Adler, and Claude Bunick. Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness. Variance, 7(September):82–91, 2013. URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/capital-tranching-raroc-approach-assessing-reinsurance-cost-effectiveness.pdf.

MM04

Massimo Marinacci and Luigi Montrucchio. A characterization of the core of convex games through Gateaux derivatives. Journal of Economic Theory, 116(2):229–248, 2004. URL: http://dx.doi.org/10.1016/S0022-0531(03)00258-8, doi:10.1016/S0022-0531(03)00258-8.

MPFV02

Ana J Mata, D Ph, Brian Fannin, and Mark A Verheyen. Pricing Excess of Loss Treaty with Loss Sensitive Features: An Exposure Rating Approach. In General Insurance Convention. 2002.

MN19

Peter McCullagh and John A Nelder. Generalized linear models. Routledge, 2019.

McG69

John S McGuinness. Is “probable maximum loss” (PML) a useful concept? Proceedings of Casualty Actuarial Society, LVI(May):31–48, 1969.

McK14

Henry McKean. Probability: the classical limit theorems. Cambridge University Press, 2014.

MR06

Christian Menn and Svetlozar T Rachev. Calibrated FFT-based density approximations for α-stable distributions. Computational Statistics and Data Analysis, 50(8):1891–1904, 2006. doi:10.1016/j.csda.2005.03.004.

Mey96

Glenn G Meyers. The competitive market equilibrium risk load formula for catastrophe ratemaking. PCAS, pages 563–600, 1996.

Mey19

Glenn G Meyers. A Cost of Capital Risk Margin Formula For Non-Life Insurance Liabilities. Variance, 12(2):186–198, 2019.

Mil04

Stephen J Mildenhall. A Note on the Myers and Read Capital Allocation Formula. North American Actuarial Journal, 8(2):32–44, 2004. URL: http://library.soa.org/library-pdf/naaj0402_3.pdf.

Mil05

Stephen J Mildenhall. Correlation and Aggregate Loss Distributions With An Emphasis On The Iman-Conover Method. Casualty Actuarial Society Forum, 2005.

Mil17

Stephen J. Mildenhall. Actuarial Geometry. Risks, 2017. doi:10.3390/risks5020031.

Mil22

Stephen J. Mildenhall. Similar Risks Have Similar Prices: A Useful and Exact Quantification. Insurance: Mathematics and Economics, 105:203–210, 2022. URL: https://doi.org/10.1016/j.insmatheco.2022.04.006, doi:10.1016/j.insmatheco.2022.04.006.

MM22a

Stephen J. Mildenhall and John A. Major. Pricing Insurance Risk: Theory and Practice. John Wiley & Sons, Inc., 2022.

MM22b

Stephen J. Mildenhall and John A. Major. Pricing Insurance Risk: Theory and Practice. John Wiley & Sons, Inc., 2022. ISBN 9781119130536.

MP98

Moshe Arye Milevsky and Steven E. Posner. Asian Options, the Sum of Lognormals , and the Reciprocal Gamma Distribution. Journal of Financial and Quantitative Analysis, 33(3):409–422, 1998.

MWJHF17

Kirsten Mitchell-Wallace, Matthew Jones, John Hillier, and Matthew Foote. Natural Catastrophe Risk Managment and Modeling - A Practitioner's Guide. Wiley-Blackwell, 2017.

MC87

Stewart C Myers and Richard A Cohn. A discounted cash flow approach to property-liability insurance rate regulation. In Fair Rate of Return in Property-Liability Insurance, pages 55–78. Springer, 1987.

MReadJr01

Stewart C Myers and James A Read Jr. Capital allocation for insurance companies. Journal of Risk and Insurance, 68(4):545–580, 2001. URL: http://www.jstor.org/stable/2691539.

PW92

Harry H Panjer and Gordon E Willmot. Insurance risk models. Society of Actuaries, 1992.

PL83

Harry H. Panjer and B. W. Lutek. Practical aspects of stop-loss calculations. Insurance: Mathematics and Economics, 2:159–177, 1983.

PPP01

Dmitry E Papush, Gary S Patrik, and Felix Podgaits. Approximations of the Aggregate Loss Distribution. Casualty Actuarial Society Forum, Winter:175–186, 2001. URL: http://www.casact.org/pubs/forum/01wforum/01wf175.pdf.

PPZ21

Dmitry E Papush, Aleksey S Popelyukhin, and Jasmine G Zhang. Approximating the Aggregate Loss Distribution. Variance, 14(2):1–10, 2021.

Par15

Pietro Parodi. Pricing in General Insurance. CRC Press, 2015. ISBN 9781466581487.

PCA98

Richard D. Phillips, J. David Cummins, and Franklin Allen. Financial Pricing of Insurance in the Multiple-Line Insurance Company. Journal of Risk and Insurance, 65(4):597–636, 1998. URL: http://www.jstor.org/stable/253804 http://www.jstor.org/stable/10.2307/253804 http://www.jstor.org/stable/253804%5Cnhttp://www.jstor.org/stable/10.2307/253804, doi:10.2307/253804.

PTVF92

William H. Press, Saul A. Teukolsky, William T. Vetterling, and Brian P. Flannery. Numerical Recipes in C. Cambridge University Press, 2nd editio edition, 1992. ISBN 0521431085.

PR12

Giovanni Puccetti and Ludger Ruschendorf. Computation of sharp bounds on the distribution of a function of dependent risks. Journal of Computational and Applied Mathematics, 236(7):1833–1840, 2012. URL: http://dx.doi.org/10.1016/j.cam.2011.10.015, doi:10.1016/j.cam.2011.10.015.

Rob92

John P. Robertson. The computation of aggregate loss distributions. Proceedings of the Casualty Actuarial Society, 79(150):57–133, 1992.

RR14

R. T. Rockafellar and J. O. Royset. Random variables, monotone relations, and convex analysis. Mathematical Programming, 148(1-2):297–331, 2014. doi:10.1007/s10107-014-0801-1.

SW14

Adrien Saumard and Jon A. Wellner. Log-concavity and strong log-concavity: a review. Statistics Surveys, 8:45–114, 2014. arXiv:1404.5886, doi:10.1214/14-SS107.

ST08

P Schaller and G Temnov. Efficient and Precise Computation of Convolutions: Applying FFTs to Heavy Tailed Distributions. Computational Methods in Applied Mathematics, 8(2):187–200, 2008.

SDRuszczynski09

Alexander Shapiro, Darinka Dentcheva, and Andrzej Ruszczyński. Lectures on Stochastic Programming. Number May. Society for Industrial and Applied Mathematics, 2009. ISBN 978-0-89871-687-0. URL: http://epubs.siam.org/doi/book/10.1137/1.9780898718751, arXiv:arXiv:1011.1669v3, doi:10.1137/1.9780898718751.

She06

Michael Sherris. Solvency, capital allocation, and fair rate of return in insurance. Journal of Risk and Insurance, 73(1):71–96, 2006. URL: http://onlinelibrary.wiley.com/doi/10.1111/j.1365-2966.2006.00166.x/full.

She10

Pavel V. Shevchenko. Calculation of aggregate loss distributions. Journal of Operational Risk, 5(2):3–40, 2010. URL: http://arxiv.org/abs/1008.1108, arXiv:1008.1108.

SS11

Elias M Stein and Rami Shakarchi. Fourier analysis: an introduction. Volume 1. Princeton University Press, 2011.

SW71

Elias M Stein and Guido Weiss. Introduction to Fourier analysis on Euclidean spaces. Volume 1. Princeton university press, 1971.

Str97

Robert W. Strain. Reinsurance. Robert W. Strain Publishing & Seminars, Incorporated, 1997.

Str86

Gilbert Strang. Introduction to Applied Mathematics. Wellesley-Cambridge Press, 1986.

Svi10

Gregor Svindland. Continuity properties of law-invariant (quasi-)convex risk functions on $L^\infty $. Mathematics and Financial Economics, 3(1):39–43, 2010. doi:10.1007/s11579-010-0026-x.

Tas99

Dirk Tasche. Risk contributions and performance measurement. Report of the Lehrstuhl fur mathematische Statistik, TU Munchen, pages 1–26, 1999. URL: http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.68.9393&rep=rep1&type=pdf.

TW08

Grigory Temnov and Richard Warnung. A Comparison of Loss Aggregation Methods for Operational Risk. Journal of Operational Risk, 3(1):1–22, 2008.

Ter13

Audrey Terras. Harmonic analysis on symmetric spaces—Euclidean Space, the Sphere, and the Poincar\/e Upper Half-Plane. Springer Science & Business Media, 2013.

TB03

Andreas Tsanakas and Christopher Barnett. Risk capital allocation and cooperative pricing of insurance liabilities. Insurance: Mathematics and Economics, 33(2):239–254, 2003. doi:10.1016/S0167-6687(03)00137-9.

VMK06

Gary G. Venter, John A. Major, and Rodney E. Kreps. Marginal Decomposition of Risk Measures. ASTIN Bulletin, 36(2):375–413, oct 2006. URL: http://poj.peeters-leuven.be/content.php?url=article&id=2017927, doi:10.2143/AST.36.2.2017927.

Ver04

R J Verrall. Bayesian Generalized Linear Model for the Bornhuetter-Furguson Method of Claims Reserving. North American Actuarial Journal, 8(3):67–89, 2004.

Vit90

Richard A. Vitale. On stochastic dependence and a class of degenerate distributions. Lecture Notes-Monograph Series, pages 459–469, 1990. URL: http://projecteuclid.org/euclid.lnms/1215457581.

Wan95

Shaun S. Wang. Insurance pricing and increased limits ratemaking by proportional hazards transforms. Insurance: Mathematics and Economics, 17(1):43–54, 1995. URL: http://dx.doi.org/10.1016/0167-6687(95)00010-P, doi:10.1016/0167-6687(95)00010-P.

Wan96

Shaun S. Wang. Premium Calculation by Transforming the Layer Premium Density. ASTIN Bulletin, 26(01):71–92, 1996. URL: https://www.cambridge.org/core/product/identifier/S0515036100003214/type/journal_article, doi:10.2143/AST.26.1.563234.

Wan98

Shaun S. Wang. Aggregation of correlated risk portfolios: models and algorithms. Proceedings of the Casualty Actuarial society, pages 848–939, 1998. URL: http://www.casact.com/pubs/proceed/proceed98/980848.pdf.

Wan00

Shaun S. Wang. A Class of Distortion Operators for Pricing Financial and Insurance Risks. The Journal of Risk and Insurance, 67(1):15–36, 2000. doi:10.2307/253675.

Wan02

Shaun S. Wang. A Universal Framework for Pricing Financial and Insurance Risks. ASTIN Bulletin, 32(2):213–234, 2002. doi:10.2143/AST.32.2.1027.

Wil91

David Williams. Probability with martingales. Cambridge university press, 1991.

WK16

Huon Wilson and Uri Keich. Accurate pairwise convolutions of non-negative vectors via FFT. Computational Statistics and Data Analysis, 101:300–315, 2016. URL: http://dx.doi.org/10.1016/j.csda.2016.03.010, doi:10.1016/j.csda.2016.03.010.

Woo02

G. Woo. Natural Catastrophe Probable Maximum Loss. British Actuarial Journal, 8(5):943–959, 2002. doi:10.1017/s1357321700004037.

vCerny04

Aleš Černý. Introduction to Fast Fourier Transform in Finance. Journal of Derivatives, 12(1):73–88, 2004.

AonBenfield15

Aon Benfield. Insurance Risk Study, Ed. 10. Technical Report, Aon Limited, 2015.

DeWaegenaereKL03

Anja De Waegenaere, Robert Kast, and Andre Lapied. Choquet pricing and equilibrium. Insurance: Mathematics and Economics, 32:359–370, 2003. doi:10.1016/S0167-6687(03)00116-1.