Related papers: On risk models with dependence
Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the `right' copula is not an easy task, and the…
In this work the ruin probability of the Lundberg risk process is used as a criterion for determining the optimal security loading of premia in the presence of price-sensitive demand for insurance. Both single and aggregated claim processes…
Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
So far, one-factor copulas induce conditional independence with respect to a latent factor. In this paper, we extend one-factor copulas to conditionally dependent models. This is achieved through new representations which allow to build new…
A common approach to the claims reserving problem is based on generalized linear models (GLM). Within this framework, the claims in different origin and development years are assumed to be independent variables. If this assumption is…
This article presents factor copula approaches to model temporal dependency of non-Gaussian (continuous/discrete) longitudinal data. Factor copula models are canonical vine copulas which explain the underlying dependence structure of a…
A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of moments (SMM) approach with non-overlapping simulation…
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…
In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…
We study stochastic ordering of system lifetimes with dependent and heterogeneous components whose marginal distributions are obtained through transformations of a common baseline. The dependence structure is modeled via Archimedean…
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
We propose two types of Quantile Graphical Models (QGMs) --- Conditional Independence Quantile Graphical Models (CIQGMs) and Prediction Quantile Graphical Models (PQGMs). CIQGMs characterize the conditional independence of distributions by…
Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…