Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103592
Authors: 
Hashorva, Enkelejd
Ji, Lanpeng
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Publisher:] MDPI [Place:] Basel [Volume:] 2 [Year:] 2014 [Issue:] 3 [Pages:] 277-288
Abstract: 
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.
Subjects: 
random shifting and scaling
credibility premium
elliptically symmetric distribution
Lp Dirichlet distribution
Archimedean copula
infinite dimensions
joint tail dependence
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size
240.75 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.