Common shock models for claim arrays

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<dc:creator>Avanzi, Benjamin</dc:creator>
<dc:creator>Taylor, Greg</dc:creator>
<dc:creator>Wong, Bernard</dc:creator>
<dc:date>2018-09-03</dc:date>
<dc:description xml:lang="es">Sumario: The paper is concerned with multiple claim arrays. In recognition of the extensive use by practitioners of large correlation matrices for the estimation of diversification benefits in capital modelling, we develop a methodology for the construction of such correlation structures (to any dimension). Indeed, the literature does not document any methodology by which practitioners, who often parameterise those correlations by means of informed guesswork, may do so in a disciplined and parsimonious manner.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/166095.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Métodos estadísticos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Reclamaciones</dc:subject>
<dc:subject xml:lang="es">Reservas técnicas</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Common shock models for claim arrays</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1109-1136</dc:relation>
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