Related papers: On risk models with dependence

Uncertain information on input parameters of reliability models is usually modeled by considering these parameters as random, and described by marginal distributions and a dependence structure of these variables. In numerous real-world…

In this paper, we introduce a risk process, namely, the mixed fractional risk process (MFRP) in which the number of claims in the associated claim process are modelled using the mixed fractional Poisson process (MFPP). The covariance…

We propose an approach to construct a new family of generalized Farlie-Gumbel-Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can model moderate positive and negative dependence, cover different types of…

We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk+ approach, and as such they formally describe default…

There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve…

We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive…

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged…

A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…

We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…

Failure times of a machinery cannot always be assumed independent and identically distributed, e.g. if after reparations the machinery is not restored to a same-as-new condition. Framed within the renewal processes approach, a…

Analysis of competing risks data plays an important role in the lifetime data analysis. Recently Feizjavadian and Hashemi (Computational Statistics and Data Analysis, vol. 82, 19-34, 2015) provided a classical inference of a competing risks…

Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the…

Copulas. We study the model risk of multivariate risk models in a comprehensive empirical study on Copula-GARCH models used for forecasting Value-at-Risk and Expected Shortfall. To determine whether model risk inherent in the forecasting of…

In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.

The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…

We propose a multivariate framework for modeling dependent default times that extends the classical Cox process by incorporating both common and idiosyncratic shocks. Our construction uses c\`adl\`ag, increasing processes to model…

We introduce the hybrid risk process, constructed via a time-change transformation applied to the solution of a hybrid stochastic differential equation. The framework covers several modern ruin settings, incorporating features like…

In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…

We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…