Search

Common shock models for claim arrays

Recurso electrónico / Electronic resource
Section: Articles
Title: Common shock models for claim arrays / Benjamin Avanzi, Greg Taylor, Bernard WongAuthor: Avanzi, Benjamin
Notes: 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.Related records: 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. 1109-1136Materia / lugar / evento: Matemática del seguro Métodos estadísticos Cálculo actuarial Reclamaciones Reservas técnicas Otros autores: Taylor, Greg
Wong, Bernard
Other categories: 6
See issue detail