Common shock models for claim arrays
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180031113 | ||
| 003 | MAP | ||
| 005 | 20181108183135.0 | ||
| 008 | 181107e20180903gbr|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20090029927$aAvanzi, Benjamin | ||
| 245 | 1 | 0 | $aCommon shock models for claim arrays$cBenjamin Avanzi, Greg Taylor, Bernard Wong |
| 520 | $aThe 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. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080597665$aMétodos estadísticos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080567118$aReclamaciones | |
| 650 | 4 | $0MAPA20080582340$aReservas técnicas | |
| 700 | $0MAPA20080660253$aTaylor, Greg | ||
| 700 | 1 | $0MAPA20160009811$aWong, Bernard | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1109-1136 |