Recent literature has investigated the risk aggregation of a portfolio X = (Xi)1≤i≤n under the sole assumption that the marginal distributions of the risks Xi are specified but not their dependence structure. There exists a range of possible values for any risk measure of S = ∑n i=1Xi and the dependence uncertainty spread, as measured by the difference between the upper bound and the lower boun...

South Africa assumes a significant position in the insurance landscape of Africa. The present research based upon qualitative and quantitative analysis, shows that it shows the characteristics of a Complex Adaptive System. In addition, a statistical analysis of risk measures through Value at risk and Conditional tail expectation is carried out to show how an individual insurance company copes u...

Consider a portfolio of n obligors subject to possible default. We propose a new structural model for the loss given default, which takes into account the severity of default. Then we study the tail behavior of the loss given default under the assumption that the losses of the n obligors jointly follow a multivariate regular variation structure. This structure provides an ideal framework for mo...

Suppose that N is a Z+-valued random variable and that X,X1, X2, . . . is a sequence of independent and identically distributed Z+ random variables independent of N . In this paper we are interested in properties of the conditional variable Nk D =(N | ∑Nj=1 Xj = k). In particular, we want to know the asymptotic behavior of the conditional mean ENk or the conditional variance var Nk as k → ∞. We...

Introduction Algebraic speciications can be used for the speciication of var

Özet Yazılım testinde uygulanabilecek en basit yaklaşım verilen bir kod parçasındaki bütün olasılıkları test etmektir. Bu durum zaman ve bütçe kısıtları nedeniyle pratikte imkansızdır. Yazılım hata tahmini yöntemleri proje yöneticileri tarafından, test aşamasında, kısıtlı olan kaynakları efektif bir şekilde dağıtmak için kullanılmaktadır. Bu alandaki çalışmalar özellikle 2005 yılından itibaren ...

A distortion risk measure used in finance and insurance is defined as the expected value of potential loss under a scenario probability measure. In this paper, the tail distortion risk measure is introduced to assess tail risks of excess losses modeled by the right tails of loss distributions. The asymptotic linear relation between tail distortion and Value-at-Risk is derived for heavy tailed l...

We present a TM system that executes transactions without ever causing any aborts. The system uses a set of t-var lists, one for each transactional variable. A scheduler undertakes the task of placing the instructions of each transaction in the appropriate t-var lists based on which t-variable each of them accesses. A set of worker threads are responsible to execute these instructions. Because ...

In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail-Value at Risk and analyze the diversification benefit, both on the required capital and on the residual risk, when merging risks. To describe the dependence structure, we use a range of v...