Showing 1 - 10 of 81
Several market and macro-level variables influence the evolution of equity risk in addition to the well-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between low and high volatility states. By combining equity risk...
Persistent link: https://www.econbiz.de/10011543141
The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...
Persistent link: https://www.econbiz.de/10011552897
How to forecast next year’s portfolio-wide credit default rate based on last year’s default observations and the current score distribution? A classical approach to this problem consists of fitting a mixture of the conditional score distributions observed last year to the current score...
Persistent link: https://www.econbiz.de/10011552978
This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to produce flexible skewness and kurtosis features...
Persistent link: https://www.econbiz.de/10011507468
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...
Persistent link: https://www.econbiz.de/10011507555
The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in...
Persistent link: https://www.econbiz.de/10011556499
In this article, we consider the generalized Erlang risk model and its dual model. By using a conditional measure-preserving correspondence between the two models, we derive an identity for two interesting conditional probabilities. Applications to the discounted joint density of the surplus...
Persistent link: https://www.econbiz.de/10010489066
This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...
Persistent link: https://www.econbiz.de/10010489103
While both zero-inflation and the unobserved heterogeneity in risks are prevalent issues in modeling insurance claim counts, determination of Bayesian credibility premium of the claim counts with these features are often demanding due to high computational costs associated with a use of MCMC....
Persistent link: https://www.econbiz.de/10013093180
Elasticity is a very popular concept in economics and physics, recently exported and reinterpreted in the statistical field, where it has given form to the so-called elasticity function. This function has proved to be a very useful tool for quantifying and evaluating risks, with applications in...
Persistent link: https://www.econbiz.de/10013161568