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A Practical Concept of Tail Correlation
of estimation are described, which we call the direct and indirect methods, respectively. Using these ... of the first order diversification factors. By direct calculation we find: ⎩⎨ ⎧ ≠ ==−−−= − − ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
uncertainty are credible intervals, which are direct probability statements about model parameters or ... risk correlation directly is not a trivial task. Direct assessment of a dependence measure requires deep ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
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Weighted Pricing Functionals
Weighted Pricing Functionals This is a concluding and encompassing part of our research on the ... (6.7) Equation (6.7) has been established using direct calculations by Panjer and Jing (2001), Panjer ...- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments