Dealing with Dependent Risks

2014 ◽  
pp. 241-277
Author(s):  
Claudia Klüppelberg ◽  
Robert Stelzer
Keyword(s):  
Dependent Risks

scholarly journals Equity Premia and State-Dependent Risks

2010 ◽  
Author(s):  
Mohammed Bouaddi ◽  
Denis Larocque ◽  
Michel Normandin
Keyword(s):  
State Dependent ◽  
Dependent Risks

scholarly journals Optimal mean-variance reinsurance with delay and multiple\\ classes of dependent risks

2017 ◽  
Vol 47 (6) ◽  
pp. 723-756 ◽  
Author(s):  
LIANG ZhiBin ◽  
YANG XiaoXiao ◽  
ZHANG CaiBin
Keyword(s):  
Dependent Risks ◽  
Mean Variance

scholarly journals A Reinsurance Approach in a Two-Dimensional Model with Dependent Risks

2019 ◽  
Vol 10 (07) ◽  
pp. 1790-1801
Author(s):  
Cristina Gosio ◽  
Ester C. Lari ◽  
Marina Ravera
Keyword(s):  
Two Dimensional ◽  
Dimensional Model ◽  
Two Dimensional Model ◽  
Dependent Risks

Using fuzzy logic to interpret dependent risks

2018 ◽  
Vol 79 ◽  
pp. 101-106
Author(s):  
Sibel Acik Kemaloglu ◽  
Arnold F. Shapiro ◽  
Fatih Tank ◽  
Aysen Apaydin
Keyword(s):  
Fuzzy Logic ◽  
Dependent Risks

scholarly journals The effect of age and study duration on the relationship between ‘clustering’ of DNA fingerprint patterns and the proportion of tuberculosis disease attributable to recent transmission

2001 ◽  
Vol 126 (1) ◽  
pp. 43-62 ◽  
Author(s):  
E. VYNNYCKY ◽  
N. NAGELKERKE ◽  
M. W. BORGDORFF ◽  
D. VAN SOOLINGEN ◽  
J. D. A. VAN EMBDEN ◽  
...  
Keyword(s):  
Age Groups ◽  
Dna Fingerprint ◽  
Older Individuals ◽  
Study Duration ◽  
Time Period ◽  
Recent Transmission ◽  
Dependent Risks ◽  
Age Structured ◽  
Age Structured Model ◽  
The Relationship

Though it is recognized that the extent of ‘clustering’ of isolates from tuberculosis cases in a given population is related to the amount of disease attributable to recent transmission, the relationship between the two statistics is poorly understood. Given age-dependent risks of disease and the fact that a long study (e.g. spanning several years) is more likely to identify transmission-linked cases than a shorter study, both measures, and thus the relationship between them, probably depend strongly on the ages of the cases ascertained and study duration. The contribution of these factors is explored in this paper using an age-structured model which describes the introduction and transmission of M. tuberculosis strains with different DNA fingerprint patterns in The Netherlands during this century, assuming that the number of individuals contacted by each case varies between cases and that DNA fingerprint patterns change over time through random mutations, as observed in several studies.Model predictions of clustering in different age groups and over different time periods between 1993 and 1997 compare well against those observed. According to the model, the proportion of young cases with onset in a given time period who were ‘clustered’ underestimated the proportion of disease attributable to recent transmission in this age group (by up to 25% in males); for older individuals, clustering overestimated this proportion. These under- and overestimates decreased and increased respectively as the time period over which the cases were ascertained increased. These results have important implications for the interpretation of estimates of the proportion of disease attributable to recent transmission, based on ‘clustering’ statistics, as are being derived from studies of the molecular epidemiology of tuberculosis in many populations.

scholarly journals On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 79 ◽  
Author(s):  
Vadim Semenikhine ◽  
Edward Furman ◽  
Jianxi Su
Keyword(s):  
Risk Model ◽  
Tail Dependence ◽  
Random Variable ◽  
Copula Function ◽  
Background Risk ◽  
Aggregate Risk ◽  
Multivariate Gamma Distribution ◽  
Multivariate Probability Distribution ◽  
Dependent Risks ◽  
Main Message

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the same task is via an application of the Bernstein–Widder theorem with respect to a shifted inverse Beta probability density function. This way, which leads to an arguably equally popular multiplicative background risk model (MBRM), has been by far less investigated. In this paper, we reintroduce the multiplicative multivariate gamma (MMG) distribution in the most general form, and we explore its various properties thoroughly. Specifically, we study the links to the MBRM, employ the machinery of divided differences to derive the distribution of the aggregate risk random variable explicitly, look into the corresponding copula function and the measures of nonlinear correlation associated with it, and, last but not least, determine the measures of maximal tail dependence. Our main message is that the MMG distribution is (1) very intuitive and easy to communicate, (2) remarkably tractable, and (3) possesses rich dependence and tail dependence characteristics. Hence, the MMG distribution should be given serious considerations when modelling dependent risks.

scholarly journals Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks

2019 ◽  
Vol 2019 ◽  
pp. 1-21
Author(s):  
Yan Zhang ◽  
Peibiao Zhao
Keyword(s):  
Investment Strategy ◽  
Risky Asset ◽  
Exponential Utility ◽  
Heston Model ◽  
Verification Theorem ◽  
Terminal Wealth ◽  
Investment Problem ◽  
Dependent Risks ◽  
Insurance Business ◽  
Explicit Expressions

This paper investigates a robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks for an ambiguity-averse insurer (AAI). The AAI’s wealth process is assumed to be two dependent classes of insurance business. He/she can purchase excess-of-loss reinsurance from the reinsurer and invest in a risk-free asset and a risky asset whose price follows Heston model. We obtain the explicit expressions of the optimal excess-of-loss reinsurance and investment strategy by maximizing the expected exponential utility of AAI’s terminal wealth. Finally, we give the proof of the verification theorem. Our models and results posed here can be regarded as a generalization of the existing results in the literature.

scholarly journals Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

2008 ◽  
Vol 38 (1) ◽  
pp. 147-159 ◽  
Author(s):  
Alexandru V. Asimit ◽  
Bruce L. Jones
Keyword(s):  
Dependence Structure ◽  
Tail Probabilities ◽  
Insurance Contracts ◽  
Dependent Risks ◽  
Asymptotic Tail

We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMOR and LCR reinsurance amounts are obtained under certain assumptions about the dependence structure.

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