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Compound Risk Models and Copula Decomposition

In: Actuarial Science Theory and Methodology

Author

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  • Hanji Shang

    (Fudan University, China)

Abstract

The following sections are included:IntroductionIndividual Risk Model and Compound Risk ModelThe Link between the Compound Risk Model and the Individual Risk ModelOne Theorem on Excess-of-loss ReinsuranceRecursive Calculation of Compound DistributionsOne-dimensional Recursive EquationsProofs of Theorems 2.2-2.3Bivariate Recursive EquationsThe Compound Poisson Random Variable's Approximation to the Individual Risk ModelThe Existence of the Optimal Poisson r.vThe Joint Distribution of ($N_n^0(\theta)$, Nn)Evaluating the Approximation ErrorThe Approximation to Functions of the Total LossThe Uniqueness of the Poisson Parameter to Minimizing Hn(θ)ProofsBivariate Copula DecompositionCopula DecompositionApplication of the Copula DecompositionReferences

Suggested Citation

  • Hanji Shang, 2006. "Compound Risk Models and Copula Decomposition," World Scientific Book Chapters, in: Hanji Shang (ed.), Actuarial Science Theory and Methodology, chapter 2, pages 47-92, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812774668_0002
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