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Evaluating the tail risk of multivariate aggregate losses

Evaluating the tail risk of multivariate aggregate losses
Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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001  MAP20220026161
003  MAP
005  20221004112452.0
008  221004e20220905bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎7
100  ‎$0‎MAPA20200013396‎$a‎Jiang, Wenjun
24510‎$a‎Evaluating the tail risk of multivariate aggregate losses‎$c‎Wenjun Jiang
520  ‎$a‎In this paper, we study the tail risk measures for several commonly used multivariate aggregate loss models where the claim frequencies are dependent but the claim sizes are mutually independent and independent of the claim frequencies. We first develop formulas for the moment (or size biased) transforms of the multivariate aggregate losses, showing their relationship with the moment transforms of the claim frequencies and claim sizes. Then, we apply the formulas to compute some popular risk measures such as the tail conditional expectation and tail variance of the multivariate aggregated losses and to perform capital allocation analysis.
540  ‎$a‎La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"‎$f‎‎$u‎https://creativecommons.org/licenses/by/4.0‎$9‎43
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080618902‎$a‎Análisis de multivariables
650 4‎$0‎MAPA20080588953‎$a‎Análisis de riesgos
7730 ‎$w‎MAP20077000420‎$g‎05/09/2022 Volumen 52 Número 3 - septiembre 2022 , p. 921-952‎$x‎0515-0361‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association
856  ‎$q‎application/pdf‎$w‎1116874‎$y‎Recurso electrónico / Electronic resource