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Common shock models for claim arrays

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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003  MAP
005  20181108183135.0
008  181107e20180903gbr|||p |0|||b|eng d
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100  ‎$0‎MAPA20090029927‎$a‎Avanzi, Benjamin
24510‎$a‎Common shock models for claim arrays‎$c‎Benjamin Avanzi, Greg Taylor, Bernard Wong
520  ‎$a‎The 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.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080597665‎$a‎Métodos estadísticos
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080567118‎$a‎Reclamaciones
650 4‎$0‎MAPA20080582340‎$a‎Reservas técnicas
700  ‎$0‎MAPA20080660253‎$a‎Taylor, Greg
7001 ‎$0‎MAPA20160009811‎$a‎Wong, Bernard
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1109-1136