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Modeling and Generating Dependent Risk Processes for IRM and DFA
Company: ASTIN Bulletin
Year Of Publication: 2004
Month Of Publication: March
Pages: 333-360
Download Count: 527
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 5-2-2006
Publisher: Administrator
Modern Integrated Risk Management (IRM) and Dynamic Financial Analysis(DFA) rely in great part on an appropriate modeling of the stochastic behaviorof the various risky assets and processes that influence the performance of thecompany under consideration. A major challenge here is a more substantial andrealistic description and modeling of the various complex dependence structuresbetween such risks showing up on all scales. In this presentation, we proposesome approaches towards modeling and generating (simulating) dependent riskprocesses in the framework of collective risk theory, in particular w.r.t. dependentclaim number processes of Poisson type (homogeneous and non-homogeneous),and compound Poisson processes.r/s
Pfeifer, Dietmar Sign in to follow this author
Neslehova, Johanna Sign in to follow this author
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