Pesquisa de referências

Collective risk models with dependence uncertainty

Recurso electrónico / Electronic resource
MAP20170019763
Liu, Haiyan
Collective risk models with dependence uncertainty / Haiyan Liu, Ruodu Wang
Sumario: We bring the recently developed framework of dependence uncertainty into collective risk models, one of the most classic models in actuarial science. We study the worst-case values of the Value-at-Risk (VaR) and the Expected Shortfall (ES) of the aggregate loss in collective risk models, under two settings of dependence uncertainty: (i) the counting random variable (claim frequency) and the individual losses (claim sizes) are independent, and the dependence of the individual losses is unknown; (ii) the dependence of the counting random variable and the individual losses is unknown. Analytical results for the worst-case values of ES are obtained. For the loss from a large portfolio of insurance policies, an asymptotic equivalence of VaR and ES is established. Our results can be used to provide approximations for VaR and ES in collective risk models with unknown dependence. Approximation errors are obtained in both cases
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2017 Volumen 47 Número 2 - mayo 2017 , p. 361-389
1. Riesgos . 2. Modelos actuariales . 3. Matemática del seguro . 4. Incertidumbre . I. Wang, Ruodu . II. Título.