large loss in the portfolio or, in the case of a portfolio with a positive dependence structure, to an unusually large loss … is considered alone. We also study, given two random vectors with a fixed dependence structure, the circumstances under …

independent and identically distributed random pairs, with each pair obeying a dependence structure described via the conditional …

Systematic improvements in mortality increases dependence in the survival distributions of insured lives, which is not … portfolios. This paper applies a multivariate gamma distribution to incorporate dependence. Lifetimes are modelled using a … truncated multivariate gamma distribution that induces dependence through a shared gamma distributed component. Model parameter …

simulation that include the potential dependence between the durations, i.e. the inter-arrival times, in two successive states …. The proposed model is compared with two alternative models that do not include this dependence. …

trends affecting different age groups at different times. From a statistical point of view, this indicates a dependence … structure. Also the dependence between ages is an important component in the modeling of mortality (Barrieu et al., 2011). It is … to be high (as noted in Denton et al., 2005). This suggests that there is value in exploring the dependence structure …

–Pratt coefficient of absolute risk aversion) and the strength of dependence featured by the corresponding Archimedean copula. Some new … copula families are derived, and their properties are discussed. A numerical example about modeling dependence of coupled …

random pair (X,Y) with dependent components. When the product XY is heavy tailed, under a mild restriction on the dependence …

dependence structures between the summands. The obtained expression for the distribution of the sum features a separation … property into marginal and dependence structure contributions typical for copula approaches. Along the same lines we obtain the …