Control and Out-of-Sample Validation of Dependent Risks

This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in the validation criterion and its conditional interpretation. Univariate and multivariate examples are discussed in detail. Copyright (c) The Journal of Risk and Insurance, 2009.

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Year of publication:	2009
Authors:	Gourieroux, Christian ; Liu, Wei
Published in:	Journal of Risk & Insurance. - American Risk and Insurance Association - ARIA, ISSN 0022-4367. - Vol. 76.2009, 3, p. 683-707
Publisher:	American Risk and Insurance Association - ARIA

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008546026