Tail Moments of Compound Distributions

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-07-05 DOI:10.2139/ssrn.3880127

Jiandong Ren

引用次数: 1

Abstract

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 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):512–32, 2020).

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复合分布的尾矩

在本文中，我们研究了单变量和多变量复合和的矩变换。当（损耗）频率分布在所谓的类中时，我们首先导出第一和第二矩变换的简单显式公式。然后，我们证明了导出的公式可以用于有效地计算风险度量，如尾部条件期望（TCE）、尾部方差（TV）和更高的尾部矩。该结果概括了Denuit（《北美精算杂志》，24（4）：512-32020）中的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.