具有时间和交叉依赖的多元分布:聚集和资本配置

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-05-01 DOI:10.1017/asb.2022.8

Xiang Hu, Lianzeng Zhang

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引用次数: 1

摘要

摘要本文研究了由多个业务线组成的保险组合的风险聚集和资本配置问题。提出了一类多变量INAR(1)过程来对投资组合的债权数量之间的不同依赖源进行建模。在TVaR风险度量下评估整个投资组合所需的总资本，并根据基于TVaR的分配规则推导出各业务线的贡献。首先给出了连续和严格正索赔规模的一般情况下的风险聚合和资本分配公式，然后给出了混合Erlang索赔规模情况下的风险聚合和资本分配公式。用数值方法说明了时间依赖性和交叉依赖性对风险聚集和资本配置行为的影响。

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MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

Abstract This paper investigates risk aggregation and capital allocation problems for an insurance portfolio consisting of several lines of business. The class of multivariate INAR(1) processes is proposed to model different sources of dependence between the number of claims of the portfolio. The total capital required for the whole portfolio is evaluated under the TVaR risk measure, and the contribution of each line of business is derived under the TVaR-based allocation rule. We provide the risk aggregation and capital allocation formulas in the general case of continuous and strictly positive claim sizes and then in the case of mixed Erlang claim sizes. The impact of both time dependence and cross-dependence on the behavior of risk aggregation and capital allocation is numerically illustrated.

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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.