Showing 1 - 10 of 10
By extending the notion of weighted premium calculation principles, we introduce weighted risk capital allocations, explore their properties, and develop computational methods. When achieving these goals, we find it particularly fruitful to relate the weighted allocations to general Stein-type...
Persistent link: https://www.econbiz.de/10004973647
A prominent problem in actuarial science is to define, or describe, premium calculation principles (pcp's) that satisfy certain properties. A frequently used resolution of the problem is achieved via distorting (e.g., lifting) the de-cumulative distribution function, and then calculating the...
Persistent link: https://www.econbiz.de/10012726452
Persistent link: https://www.econbiz.de/10005374544
Convenient expressions for the Esscher pricing functional in the context of the compound Poisson processes with dependent loss amounts and loss inter-arrival times are developed. To this end, the moment generating function of the aforementioned dependent processes is derived and studied. Various...
Persistent link: https://www.econbiz.de/10010576742
We study a multivariate extension of the univariate exponential dispersion Tweedie family of distributions. The class, referred to as the multivariate Tweedie family (MTwF), on the one hand includes multivariate Poisson, gamma, inverse Gaussian, stable and compound Poisson distributions and on...
Persistent link: https://www.econbiz.de/10008507352
A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and studied. The distribution is believed to allow for an adequate modeling of dependent heavy tailed risks with a non-zero probability of simultaneous loss. Numerous links to certain existing...
Persistent link: https://www.econbiz.de/10008507366
An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be...
Persistent link: https://www.econbiz.de/10010572717
Persistent link: https://www.econbiz.de/10005374793
Persistent link: https://www.econbiz.de/10005375339
The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to be. This property, usually called the loading monotonicity, is satisfied by premiums that...
Persistent link: https://www.econbiz.de/10008865455