Compound Risk Models and Copula Decomposition

Hanji Shang
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Hanji Shang: Fudan University, China

Chapter 2 in Actuarial Science:Theory and Methodology, 2006, pp 47-92 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionIndividual Risk Model and Compound Risk ModelThe Link between the Compound Risk Model and the Individual Risk ModelOne Theorem on Excess-of-loss ReinsuranceRecursive Calculation of Compound DistributionsOne-dimensional Recursive EquationsProofs of Theorems 2.2-2.3Bivariate Recursive EquationsThe Compound Poisson Random Variable's Approximation to the Individual Risk ModelThe Existence of the Optimal Poisson r.vThe Joint Distribution of ($N_n^0(\theta)$, Nn)Evaluating the Approximation ErrorThe Approximation to Functions of the Total LossThe Uniqueness of the Poisson Parameter to Minimizing Hn(θ)ProofsBivariate Copula DecompositionCopula DecompositionApplication of the Copula DecompositionReferences

Keywords: Actuarial Science; Actuarial Mathematics; Risk Model; Risk Analysis; Fuzzy Mathematics; Financial Economics; Solvency Supervision; Information Processing; Insurance (search for similar items in EconPapers)
Date: 2006
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