Random shifting and scaling of insurance risks
Détails
Télécharger: BIB_DCDA4C16ED7F.P001.pdf (267.25 [Ko])
Etat: Public
Version: de l'auteur⸱e
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_DCDA4C16ED7F
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Random shifting and scaling of insurance risks
Périodique
Risks
ISSN
2227-9091
Statut éditorial
Publié
Date de publication
2014
Peer-reviewed
Oui
Volume
2
Pages
277-288
Langue
anglais
Résumé
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.
Mots-clé
Random shifting and scaling, Credibility premium, Elliptically symmetric distribution, Lp Dirichlet distribution, Archimedean copula, Infinite dimensions, Joint tail dependence
Site de l'éditeur
Open Access
Oui
Création de la notice
15/07/2014 3:12
Dernière modification de la notice
20/08/2019 16:01