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Modeling and Generating Dependent Risk Processes for IRM and DFA

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  • Pfeifer, Dietmar
  • NeÅ¡lehová, Johana

Abstract

Modern Integrated Risk Management (IRM) and Dynamic Financial Analysis (DFA) rely in great part on an appropriate modeling of the stochastic behavior of the various risky assets and processes that influence the performance of the company under consideration. A major challenge here is a more substantial and realistic description and modeling of the various complex dependence structures between such risks showing up on all scales. In this presentation, we propose some approaches towards modeling and generating (simulating) dependent risk processes in the framework of collective risk theory, in particular w.r.t. dependent claim number processes of Poisson type (homogeneous and non-homogeneous), and compound Poisson processes.

Suggested Citation

  • Pfeifer, Dietmar & NeÅ¡lehová, Johana, 2004. "Modeling and Generating Dependent Risk Processes for IRM and DFA," ASTIN Bulletin, Cambridge University Press, vol. 34(2), pages 333-360, November.
    • Handle: RePEc:cup:astinb:v:34:y:2004:i:02:p:333-360_01
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    Cited by:

    1. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    2. Kokonendji, Célestin C. & Puig, Pedro, 2018. "Fisher dispersion index for multivariate count distributions: A review and a new proposal," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 180-193.
    3. Ramírez-Cobo, Pepa & Carrizosa, Emilio & Lillo, Rosa E., 2021. "Analysis of an aggregate loss model in a Markov renewal regime," Applied Mathematics and Computation, Elsevier, vol. 396(C).
    4. Veraart, Almut E.D., 2019. "Modeling, simulation and inference for multivariate time series of counts using trawl processes," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 110-129.
    5. Jianxi Su & Edward Furman, 2016. "A form of multivariate Pareto distribution with applications to financial risk measurement," Papers 1607.04737, arXiv.org.
    6. Geenens Gery, 2020. "Copula modeling for discrete random vectors," Dependence Modeling, De Gruyter, vol. 8(1), pages 417-440, January.
    7. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    8. Geenens Gery, 2020. "Copula modeling for discrete random vectors," Dependence Modeling, De Gruyter, vol. 8(1), pages 417-440, January.
    9. Hans Colonius, 2015. "An invitation to coupling and copulas: with applications to multisensory modeling," Papers 1511.05303, arXiv.org.
    10. Xu, Chi & Zheng, Chunling & Wang, Donghua & Ji, Jingru & Wang, Nuan, 2019. "Double correlation model for operational risk: Evidence from Chinese commercial banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 327-339.
    11. Chavez-Demoulin, V. & Embrechts, P. & Neslehova, J., 2006. "Quantitative models for operational risk: Extremes, dependence and aggregation," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2635-2658, October.
    12. Martin Eling & Denis Toplek, 2009. "Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 651-681, September.
    13. Asimit, Alexandru V. & Furman, Edward & Vernic, Raluca, 2010. "On a multivariate Pareto distribution," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 308-316, April.
    14. Juliana Schulz & Christian Genest & Mhamed Mesfioui, 2021. "A multivariate Poisson model based on comonotonic shocks," International Statistical Review, International Statistical Institute, vol. 89(2), pages 323-348, August.
    15. Bäuerle, Nicole & Blatter, Anja, 2011. "Optimal control and dependence modeling of insurance portfolios with Lévy dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 398-405, May.

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