scholarly journals The Stability of the Aggregate Loss Distribution

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 91 ◽  
Author(s):  
Riccardo Gatto
Keyword(s):  
Stability Analysis ◽  
Survival Function ◽  
Saddlepoint Approximation ◽  
Computational Formula ◽  
Important Indicator ◽  
The Common ◽  
Infinitesimal Perturbation ◽  
Aggregate Loss ◽  
Aggregate Loss Distribution ◽  
The Stability

In this article we introduce the stability analysis of a compound sum: it consists of computing the standardized variation of the survival function of the sum resulting from an infinitesimal perturbation of the common distribution of the summands. Stability analysis is complementary to the classical sensitivity analysis, which consists of computing the derivative of an important indicator of the model, with respect to a model parameter. We obtain a computational formula for this stability from the saddlepoint approximation. We apply the formula to the compound Poisson insurer loss with gamma individual claim amounts and to the compound geometric loss with Weibull individual claim amounts.

scholarly journals A Phase-Fitted and Amplification-Fitted Explicit Runge–Kutta–Nyström Pair for Oscillating Systems

2021 ◽  
Vol 26 (3) ◽  
pp. 59
Author(s):  
Musa Ahmed Demba ◽  
Higinio Ramos ◽  
Poom Kumam ◽  
Wiboonsak Watthayu
Keyword(s):  
Stability Analysis ◽  
Numerical Experiments ◽  
Order Of Convergence ◽  
Truncation Error ◽  
Local Truncation Error ◽  
Nyström Methods ◽  
Oscillating Systems ◽  
The Common ◽  
Runge Kutta ◽  
The Stability

An optimized embedded 5(3) pair of explicit Runge–Kutta–Nyström methods with four stages using phase-fitted and amplification-fitted techniques is developed in this paper. The new adapted pair can exactly integrate (except round-off errors) the common test: y″=−w2y. The local truncation error of the new method is derived, and we show that the order of convergence is maintained. The stability analysis is addressed, and we demonstrate that the developed method is absolutely stable, and thus appropriate for solving stiff problems. The numerical experiments show a better performance of the new embedded pair in comparison with other existing RKN pairs of similar characteristics.

scholarly journals Slope Stability Analysis for Proposed Footing Construction Seated on Sloppy Ground

2018 ◽  
Vol 7 (3.35) ◽  
pp. 30
Author(s):  
Tirumala Deepika ◽  
. .
Keyword(s):  
Stability Analysis ◽  
Slope Stability ◽  
Slope Stability Analysis ◽  
Construction Site ◽  
Soil Slope ◽  
Slope Failures ◽  
Building Foundation ◽  
Homogeneous Soil ◽  
The Common ◽  
The Stability

Slope failures are one of the common phenomena in the Geotechnical failures. Thus it is needed to arrest the failure through proper mechanism.  Considering this as a scope the present study is oriented to address the analysis of sloppy site where the proposed building foundation to be constructed with different slopes as a natural construction site. The stability is checked and the anchors are used to improve the stability aspect of slope. The study found that the homogeneous soil slope is improved its safety under the usage of anchors.  

scholarly journals Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

2003 ◽  
Vol 33 (02) ◽  
pp. 209-238 ◽  
Author(s):  
Filip Lindskog ◽  
Alexander J. McNeil
Keyword(s):  
Credit Risk ◽  
Model Parameters ◽  
Risk Modelling ◽  
Common Shock ◽  
Management Context ◽  
The Common ◽  
Aggregate Loss ◽  
Aggregate Loss Distribution ◽  
Set Up ◽  
Loss Modelling

The idea of using common Poisson shock processes to model dependent event frequencies is well known in the reliability literature. In this paper we examine these models in the context of insurance loss modelling and credit risk modelling. To do this we set up a very general common shock framework for losses of a number of different types that allows for both dependence in loss frequencies across types and dependence in loss severities. Our aims are threefold: to demonstrate that the common shock model is a very natural way of approaching the modelling of dependent losses in an insurance or risk management context; to provide a summary of some analytical results concerning the nature of the dependence implied by the common shock specification; to examine the aggregate loss distribution that results from the model and its sensitivity to the specification of the model parameters.

scholarly journals Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

2003 ◽  
Vol 33 (2) ◽  
pp. 209-238 ◽  
Author(s):  
Filip Lindskog ◽  
Alexander J. McNeil
Keyword(s):  
Credit Risk ◽  
Model Parameters ◽  
Risk Modelling ◽  
Common Shock ◽  
Management Context ◽  
The Common ◽  
Aggregate Loss ◽  
Aggregate Loss Distribution ◽  
Set Up ◽  
Loss Modelling

The idea of using common Poisson shock processes to model dependent event frequencies is well known in the reliability literature. In this paper we examine these models in the context of insurance loss modelling and credit risk modelling. To do this we set up a very general common shock framework for losses of a number of different types that allows for both dependence in loss frequencies across types and dependence in loss severities. Our aims are threefold: to demonstrate that the common shock model is a very natural way of approaching the modelling of dependent losses in an insurance or risk management context; to provide a summary of some analytical results concerning the nature of the dependence implied by the common shock specification; to examine the aggregate loss distribution that results from the model and its sensitivity to the specification of the model parameters.

Stability Analysis of the Nanjung Water Diversion Twin Tunnels based on Convergence Measurement

2019 ◽  
Vol 1 (1) ◽  
pp. 49-60
Author(s):  
Simon Heru Prassetyo ◽  
Ganda Marihot Simangunsong ◽  
Ridho Kresna Wattimena ◽  
Made Astawa Rai ◽  
Irwandy Arif ◽  
...  
Keyword(s):  
Stability Analysis ◽  
Convergence Rate ◽  
Critical Strain ◽  
Convergence Rates ◽  
Strain Analysis ◽  
Water Diversion ◽  
Tunnel Face ◽  
Tunnel Stability ◽  
The Stability ◽  
Twin Tunnels

This paper focuses on the stability analysis of the Nanjung Water Diversion Twin Tunnels using convergence measurement. The Nanjung Tunnel is horseshoe-shaped in cross-section, 10.2 m x 9.2 m in dimension, and 230 m in length. The location of the tunnel is in Curug Jompong, Margaasih Subdistrict, Bandung. Convergence monitoring was done for 144 days between February 18 and July 11, 2019. The results of the convergence measurement were recorded and plotted into the curves of convergence vs. day and convergence vs. distance from tunnel face. From these plots, the continuity of the convergence and the convergence rate in the tunnel roof and wall were then analyzed. The convergence rates from each tunnel were also compared to empirical values to determine the level of tunnel stability. In general, the trend of convergence rate shows that the Nanjung Tunnel is stable without any indication of instability. Although there was a spike in the convergence rate at several STA in the measured span, that spike was not replicated by the convergence rate in the other measured spans and it was not continuous. The stability of the Nanjung Tunnel is also confirmed from the critical strain analysis, in which most of the STA measured have strain magnitudes located below the critical strain line and are less than 1%.

Soil Strength Reduction Method Induced by Variation of Water Content

2012 ◽  
Vol 170-173 ◽  
pp. 847-852
Author(s):  
Peng Ming Jiang ◽  
Zhong Lei Yan ◽  
Peng Li
Keyword(s):  
Slope Stability ◽  
Unsaturated Soil ◽  
Unsaturated Soils ◽  
Characteristic Curve ◽  
Strength Reduction ◽  
Actual State ◽  
Soil Slope ◽  
Simple Method ◽  
The Common ◽  
The Stability

As the complexity of unsaturated soil theory, and it must have a long test period when we study the unsaturated soils, so the conventional design analysis software does not provide such analysis, so we can imagine that such a slope stability analysis does not accurately reflect the actual state of the slope. Based on the known soil moisture content，this paper use the soil water characteristic curve and strength theory of unsaturated soil to calculate the strength reduction parameters of soil which can calculate the stability of the soil slope when using the common calculation method. It is noticeable that this method can be extended and applied if we establish regional databases for this simple method, and these databases can improve the accuracy of the calculation of slope stability.

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