Common shock models for claim arrays

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20180031113</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20181108183135.0</controlfield>
    <controlfield tag="008">181107e20180903gbr|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20090029927</subfield>
      <subfield code="a">Avanzi, Benjamin</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Common shock models for claim arrays</subfield>
      <subfield code="c">Benjamin Avanzi, Greg Taylor, Bernard Wong</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">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.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080597665</subfield>
      <subfield code="a">Métodos estadísticos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080567118</subfield>
      <subfield code="a">Reclamaciones</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080582340</subfield>
      <subfield code="a">Reservas técnicas</subfield>
    </datafield>
    <datafield tag="700" ind1=" " ind2=" ">
      <subfield code="0">MAPA20080660253</subfield>
      <subfield code="a">Taylor, Greg</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20160009811</subfield>
      <subfield code="a">Wong, Bernard</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1109-1136</subfield>
    </datafield>
  </record>
</collection>