IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v52y2022i3p921-952_8.html
   My bibliography  Save this article

Evaluating The Tail Risk Of Multivariate Aggregate Losses

Author

Listed:
  • Jiang, Wenjun
  • Ren, Jiandong

Abstract

In this paper, we study the tail risk measures for several commonly used multivariate aggregate loss models where the claim frequencies are dependent but the claim sizes are mutually independent and independent of the claim frequencies. We first develop formulas for the moment (or size biased) transforms of the multivariate aggregate losses, showing their relationship with the moment transforms of the claim frequencies and claim sizes. Then, we apply the formulas to compute some popular risk measures such as the tail conditional expectation and tail variance of the multivariate aggregated losses and to perform capital allocation analysis.

Suggested Citation

  • Jiang, Wenjun & Ren, Jiandong, 2022. "Evaluating The Tail Risk Of Multivariate Aggregate Losses," ASTIN Bulletin, Cambridge University Press, vol. 52(3), pages 921-952, September.
    • Handle: RePEc:cup:astinb:v:52:y:2022:i:3:p:921-952_8
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036122000149/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:52:y:2022:i:3:p:921-952_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.