Common shock models for claim arrays

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<title>Common shock models for claim arrays</title>
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<namePart>Wong, Bernard</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Benjamin Avanzi, Greg Taylor, Bernard Wong</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1109-1136</text>
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