评估多元累计损失的尾部风险

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2022-07-15 DOI:10.1017/asb.2022.14

Wenjun Jiang, Jiandong Ren

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引用次数: 0

摘要

摘要本文研究了几种常用的多元累计损失模型的尾部风险度量，其中索赔频率是相互依赖的，但索赔规模与索赔频率是相互独立的。我们首先开发了多元累计损失的矩变换(或大小偏差)的公式，显示了它们与索赔频率和索赔规模的矩变换的关系。然后，应用该公式计算了多元累计损失的尾部条件期望和尾部方差等常用的风险度量，并进行了资本配置分析。

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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EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES

Abstract In 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.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.