Artikel
Random shifting and scaling of insurance risks
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting and random scaling of insurance risks focusing in particular on credibility models, dependence structure of claim sizes in collective risk models, and extreme value models for the joint dependence of large losses. We show that specifying certain actuarial models using random shifting or scaling has some advantages for both theoretical treatments and practical applications.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 2 ; Year: 2014 ; Issue: 3 ; Pages: 277-288 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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random shifting and scaling
credibility premium
elliptically symmetric distribution
Lp Dirichlet distribution
Archimedean copula
infinite dimensions
joint tail dependence
- Event
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Geistige Schöpfung
- (who)
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Hashorva, Enkelejd
Ji, Lanpeng
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2014
- DOI
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doi:10.3390/risks2030277
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Hashorva, Enkelejd
- Ji, Lanpeng
- MDPI
Time of origin
- 2014
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