Search

Tail Moments of Compound Distributions

<?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">MAP20220023733</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20220915131714.0</controlfield>
    <controlfield tag="008">220915e20220912esp|||p      |0|||b|spa 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">7</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20080653613</subfield>
      <subfield code="a">Ren, Jiandong</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Tail Moments of Compound Distributions</subfield>
      <subfield code="c">Jiandong Ren</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">In this article, we study the moment transform of both univariate and multivariate compound sums. We first derive simple explicit formulas for the first and second moment transforms when the (loss) frequency distribution is in the so-called (a,b,0) class. Then we show that the derived formulas can be used to efficiently compute risk measures such as the tail conditional expectation (TCE), the tail variance (TV), and higher tail moments. The results generalize those in Denuit (North American Actuarial Journal, 24 (4):51232, 2020).</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">MAPA20080620752</subfield>
      <subfield code="a">Variables macro-económicas</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000239</subfield>
      <subfield code="g">12/09/2022 Tomo 26 Número 3 - 2022 , p. 336-350</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
    </datafield>
  </record>
</collection>