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http://hdl.handle.net/2445/156040
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DC Field | Value | Language |
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dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Sarabia Alegría, José María | - |
dc.contributor.author | Prieto, Faustino | - |
dc.contributor.author | Jordá, Vanesa | - |
dc.date.accessioned | 2020-04-20T11:58:32Z | - |
dc.date.available | 2020-12-31T06:10:20Z | - |
dc.date.issued | 2019-12 | - |
dc.identifier.issn | 0218-4885 | - |
dc.identifier.uri | http://hdl.handle.net/2445/156040 | - |
dc.description.abstract | Straightforward methods to evaluate risks arising from several sources are specially difficult when risk components are dependent and, even more if that dependence is strong in the tails. We give an explicit analytical expression for the probability distribution of the sum of non-negative losses that are tail-dependent. Our model allows dependence in the extremes of the marginal beta distributions. The proposed model is flexible in the choice of the parameters in the marginal distribution. The estimation using the method of moments is possible and the calculation of risk measures is easily done with a Monte Carlo approach. An illustration on data for insurance losses is presented. | - |
dc.format.extent | 12 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | World Scientific Publishing | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1142/S021848851940004X | - |
dc.relation.ispartof | International Journal of Uncertainty Fuzziness and Knowledge-Based Systems, 2019, vol. 27, num. Supp 01, p. 77-88 | - |
dc.relation.uri | https://doi.org/10.1142/S021848851940004X | - |
dc.rights | (c) World Scientific Publishing, 2019 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Risc (Assegurances) | - |
dc.subject.classification | Avaluació del risc | - |
dc.subject.classification | Distribució (Teoria de la probabilitat) | - |
dc.subject.classification | Mètode de Montecarlo | - |
dc.subject.other | Risk (Insurance) | - |
dc.subject.other | Risk assessment | - |
dc.subject.other | Distribution (Probability theory) | - |
dc.subject.other | Monte Carlo method | - |
dc.title | Aggregation of dependent risks with heavy-tail distributions | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 698164 | - |
dc.date.updated | 2020-04-20T11:58:32Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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698164.pdf | 1.52 MB | Adobe PDF | View/Open |
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