COMMON SHOCK MODELS FOR CLAIM ARRAYS

DOI10.1017/ASB.2018.18zbMath1416.91150OpenAlexW2588603926MaRDI QIDQ4691249

Greg Taylor, Bernard Wong, Benjamin Avanzi

Publication date: 19 October 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/235607

zbMATH Keywords

correlationloss reservingcommon shockclaim arrayclaim dependency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses ⋮ Observations on industry practice in the construction of large correlation structures for risk and capital margins

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