Joint insolvency analysis of a shared MAP risk process : a capital allocation application
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Tag | 1 | 2 | Valor |
---|---|---|---|
LDR | 00000cab a2200000 4500 | ||
001 | MAP20170033172 | ||
003 | MAP | ||
005 | 20171103132710.0 | ||
008 | 171017e20170605esp|||p |0|||b|spa d | ||
040 | $aMAP$bspa$dMAP | ||
084 | $a6 | ||
245 | 0 | 0 | $aJoint insolvency analysis of a shared MAP risk process$b: a capital allocation application$cJun Cai... [et al.] |
520 | $aIn recent years, multivariate insurance risk processes have received increasing attention in risk theory. First-passage-time problems in the context of these insurance risk processes are of primary interest for risk management purposes. In this article we study joint-ruin problems of two risk undertakers in a proportionally shared Markovian claim arrival process. Building on the existing work in the literature, joint-ruinrelated quantities are thoroughly analyzed by capitalizing on existing results in certain univariate insurance surplus processes. Finally, an application is considered where the finite-time and infinite-time joint-ruin probabilities are used as risk measures to allocate risk capital among different business lines. The proposed joint-ruin allocation principle enables us to not only capture the risk dynamics over a given time horizon, but also overcome the cross-subsidizing effect of many existing allocation principles. | ||
650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
650 | 4 | $0MAPA20080572730$aMapa de riesgos | |
773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g05/06/2017 Tomo 21 Número 2 - 2017 , p. 178-192 |