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Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
Company: Astin Bulletin
Year Of Publication: 2003
Month Of Publication: January
Pages: 209-238
Download Count: 518
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 5-2-2006
Publisher: Administrator
The idea of using common Poisson shock processes to model dependent event frequenciesis well known in the reliability literature. In this paper we examine thesemodels in the context of insurance loss modelling and credit risk modelling. To dothis we set up a very general common shock framework for losses of a number ofdifferent types that allows for both dependence in loss frequencies across types anddependence in loss severities. Our aims are threefold: to demonstrate that the commonshock model is a very natural way of approaching the modelling of dependentlosses in an insurance or risk management context; to provide a number of analyticalresults concerning the nature of the dependence implied by the common shock specification;to examine the aggregate loss distribution that results from the model andthe sensitivity of its tail to the specification of the model parameters.
Lindskog, Filip Sign in to follow this author
McNeil, Alexander Sign in to follow this author
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