Control and Out‐of‐Sample Validation of Dependent Risks

Christian Gourieroux and Wei Liu

Journal of Risk & Insurance, 2009, vol. 76, issue 3, 683-707

Abstract: This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in the validation criterion and its conditional interpretation. Univariate and multivariate examples are discussed in detail.

Date: 2009
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https://doi.org/10.1111/j.1539-6975.2009.01309.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:76:y:2009:i:3:p:683-707

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