IDEAS home Printed from https://ideas.repec.org/a/wut/journl/v1y2007p45-61.html
   My bibliography  Save this article

Dependent binomial distribution and its application in reinsurance and credits

Author

Listed:
  • Stanisław Heilpern

Abstract

Praca jest poświęcona zależnemu rozkładowi dwumianowemu. W odróżnieniu od klasycznego rozkładu dwumianowego odstąpiono od założenia o niezależności zmiennych losowych. Omówiono poszczególne przypadki uwzględniające różne struktury zależności oraz rozszerzenia modelu. Przedstawiono zastosowania w reasekuracji nadwyżki szkody oraz w zarządzaniu ryzykiem kredytowym.

Suggested Citation

  • Stanisław Heilpern, 2007. "Dependent binomial distribution and its application in reinsurance and credits," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 17(1), pages 45-61.
    • Handle: RePEc:wut:journl:v:1:y:2007:p:45-61
    as

    Download full text from publisher

    File URL: https://ord.pwr.edu.pl/assets/papers_archive/69%20-%20published.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kolev, Nikolai & Paiva, Delhi, 2005. "Multinomial model for random sums," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 494-504, December.
    2. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shaked, Moshe, 2007. "Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1339-1344, July.
    2. Kolev, Nikolai & Paiva, Delhi, 2005. "Multinomial model for random sums," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 494-504, December.
    3. Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
    4. Roberto Fontana & Elisa Luciano & Patrizia Semeraro, 2021. "Model risk in credit risk," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 176-202, January.
    5. Genest, Christian & Marceau, Etienne & Mesfioui, Mhamed, 2003. "Compound Poisson approximations for individual models with dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 73-91, February.
    6. Katsuichiro Goda & Jiandong Ren, 2010. "Assessment of Seismic Loss Dependence Using Copula," Risk Analysis, John Wiley & Sons, vol. 30(7), pages 1076-1091, July.
    7. Eling, Martin & Wirfs, Jan Hendrik, 2016. "Cyber Risk: Too Big to Insure? Risk Transfer Options for a mercurial risk class," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 59, number 59.
    8. repec:hal:journl:hal-00536925 is not listed on IDEAS
    9. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    10. Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
    11. Bolancé, Catalina & Bahraoui, Zuhair & Artís, Manuel, 2014. "Quantifying the risk using copulae with nonparametric marginals," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 46-56.
    12. Kolev, Nikolai & Paiva, Delhi, 2008. "Random sums of exchangeable variables and actuarial applications," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 147-153, February.
    13. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    14. Li, Chen & Li, Xiaohu, 2019. "Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 84-91.
    15. Liu, Yan, 2007. "Precise large deviations for negatively associated random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 181-189, January.
    16. Cossette, Hélène & Marceau, Etienne & Perreault, Samuel, 2015. "On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 214-224.
    17. Denuit, Michel & Kiriliouk, Anna & Segers, Johan, 2014. "Max-Factor individual risk models with application to credit portfolios," LIDAM Discussion Papers ISBA 2014048, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    18. Denuit, Michel & Kiriliouk, Anna & Segers, Johan, 2015. "Max-factor individual risk models with application to credit portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 162-172.
    19. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    20. Kemaloglu, Sibel Acik & Shapiro, Arnold F. & Tank, Fatih & Apaydin, Aysen, 2018. "Using fuzzy logic to interpret dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 101-106.
    21. Michel Denuit & Anna Kiriliouk & Johan Segers, 2014. "Max-factor individual risk models with application to credit portfolios," Papers 1412.3230, arXiv.org.

    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:wut:journl:v:1:y:2007:p:45-61. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Adam Kasperski (email available below). General contact details of provider: https://edirc.repec.org/data/iopwrpl.html .

    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.