EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
نویسندگان
چکیده
Abstract In this paper, we study the tail risk measures for several commonly used multivariate aggregate loss models where claim frequencies are dependent but sizes mutually independent and of frequencies. We first develop formulas moment (or size biased) transforms losses, showing their relationship with sizes. Then, apply to compute some popular such as conditional expectation variance aggregated losses perform capital allocation analysis.
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ژورنال
عنوان ژورنال: Astin Bulletin
سال: 2022
ISSN: ['0515-0361', '1783-1350']
DOI: https://doi.org/10.1017/asb.2022.14