Random shifting and scaling of insurance risks
Details
Download: BIB_DCDA4C16ED7F.P001.pdf (267.25 [Ko])
State: Public
Version: author
State: Public
Version: author
Serval ID
serval:BIB_DCDA4C16ED7F
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Random shifting and scaling of insurance risks
Journal
Risks
ISSN
2227-9091
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
2
Pages
277-288
Language
english
Abstract
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting and random scaling of insurance risks focusing in particular on credibility models, dependence structure of claim sizes in collective risk models, and extreme value models for the joint dependence of large losses. We show that specifying certain actuarial models using random shifting or scaling has some advantages for both theoretical treatments and practical applications.
Keywords
Random shifting and scaling, Credibility premium, Elliptically symmetric distribution, Lp Dirichlet distribution, Archimedean copula, Infinite dimensions, Joint tail dependence
Publisher's website
Open Access
Yes
Create date
15/07/2014 3:12
Last modification date
20/08/2019 16:01