Evaluating the tail risk of multivariate aggregate losses

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<dc:creator>Jiang, Wenjun </dc:creator>
<dc:date>2022-09-05</dc:date>
<dc:description xml:lang="es">Sumario: In this paper, we study the tail risk measures for several commonly used multivariate aggregate loss models where the claim frequencies are dependent but the claim sizes are mutually independent and independent of the claim frequencies. We first develop formulas for the moment (or size biased) transforms of the multivariate aggregate losses, showing their relationship with the moment transforms of the claim frequencies and claim sizes. Then, we apply the formulas to compute some popular risk measures such as the tail conditional expectation and tail variance of the multivariate aggregated losses and to perform capital allocation analysis.

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<dc:format xml:lang="en">application/pdf</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/180861.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">https://creativecommons.org/licenses/by/4.0</dc:rights>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Análisis de multivariables</dc:subject>
<dc:subject xml:lang="es">Análisis de riesgos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Evaluating the tail risk of multivariate aggregate losses</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 05/09/2022 Volumen 52 Número 3 - septiembre 2022 , p. 921-952</dc:relation>
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