Dependence

A General Framework for Modeling Mortality to Better Estimate its Relationship to Interest Rate Risks
The need for having a good knowledge of the degree of dependence between various risks is fundamental…
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Explicit diversification benefit for dependent risks
We propose a new approach to analyse the effect of diversification on a portfolio of risks. By…
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Casualty Accumulation Risk
(Contribution of a SCOR expert in an external publication) Casualty accumulation is the concentration of insured risks…
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Exploring the Dependence between Mortality and Market Risks
In this paper, we develop a statistical approach to explore empirically the dependence between risks in the…
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An importance sampling algorithm for copula models in insurance
(External paper from a SCOR expert) An importance sampling algorithm for copula models is introduced. The method…
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PrObEx, a scientific innovation to assess the dependence between risks
When a (re)insurance portfolio is acquired, each risk is assessed by experts. Yet for (re)insurers, it is…
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 Estimating Copulas for Insurance from Scarce Observations, Expert Opinion and Prior Information - A Bayesian Approach
(Contribution from SCOR experts in an external publication) A prudent assessment of dependence is crucial in many…
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 A new method for modeling dependence via extended common shock type model
Reinsurers cover a large variety of risks that come from different sources and can have hidden dependencies.…
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PrObEx: A new method for the calibration of copula parameters from prior information, observations and expert opinions
Copula models allow to represent dependence between random variables. However, copula estimation procedures usually contain a large…
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Given a Bayesian Markov Chain Monte Carlo (MCMC) stochastic loss reserve model for two separate lines of…
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In this paper, we study the pricing of life insurance portfolios in the presence of dependent lives.…
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Tail interdependence is defined as the situation where extreme outcomes for some variables are informative about such…
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We analyze the design of contracts when individual risks are correlated between risk-averse agents, such as in…
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A new measure of local dependence called “layer dependence” is proposed and analysed. Layer dependence measures the…
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Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance,…
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Tail order of copulas can be used to describe the strength of dependence in the tails of…
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In this paper we study data from the yearly reports the four major Swedish non-life insurers have…
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We describe a novel non parametric statistical hypothesis test of relative dependence between a source variable and…
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This paper analyzes optimal prevention expenditures in a situation of multiple correlated risks. We focus on probability…
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The purpose of this document is to present and discuss the mathematical and statistical tools available to…
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The Global Risks 2014 report highlights how global risks are not only interconnected but also have systemic…
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In this paper we consider a multivariate model–based approach to measure the dynamic evolution of tail risk…
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Risk aggregation with dependence uncertainty refers to the sum of individual risks with known marginal distributions and…
A general methodology for modeling loss data depending on covariates is developed. The parameters of the frequency…
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The policy responses to the financial crisis (e.g. higher loss absorbency, recovery and resolution, effective risk appetite…
Existing studies of risk pooling among groups of countries are predicated upon the highly restrictive assumption that…
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To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculate…
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Probability statements about future evolutions of financial and actuarial risks are expressed in terms of the ‘real-world’…
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In this contribution we analyze the interplay between correlation, tail dependence and diversification between risks which has…
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In this paper, we introduce a class of multivariate Erlang mixtures and present its desirable properties. We…
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A critical problem in property and casualty insurance is forecasting incurred but as yet unpaid losses. Forecasts…
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Under the current regulatory guidelines for banks and insurance companies, the quantification of diversification benefits due to…
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This paper analyses the impact of using different correlation assumptions between lines of business when estimating the…
In the individual risk model, one is often concerned about positively dependent risks. Several notions of positive…
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Consider a portfolio of n identically distributed risks with dependence structure modeled by an Archimedean survival copula.…
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New models for panel data that consist of a generalization of the hurdle model are presented and…
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Under the current regulatory guidelines for banks and insurance companies, the quantification of diversification benefits due to…
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The paid-incurred chain (PIC) reserving method is a claims reserving method in general insurance that allows to…
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In this paper we investigate the potential of Lévy copulas as a tool for modelling dependence between…
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Multivariate risk analysis is concerned with extreme observations. If the underlying distribution has a unimodal density then…
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Cet article propose une analyse théorique et empirique de l'impact du choix de la structure de dépendance…
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Insurance companies measure and manage capital across a broad range of diverse business products. Thus there is…
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We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMOR and LCR reinsurance…
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This paper discusses an approach to the correlation problem in which losses from different lines of insurance…
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Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper…
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Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for…
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So far, one-factor copulas induce conditional independence with respect to a latent factor. In this paper, we…
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In the last decade, stress tests have become indispensable in bank risk management which has led to…
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An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte…
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Distortion risk measures are extensively used in finance and insurance applications because of their appealing properties. We…
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This paper surveys several applications of parametric copulas to market portfolios, credit portfolios, and enterprise risk management…
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This paper presents the impact of a class of transformations of copulas in their upper and lower…
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This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities…
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This paper features an application of Regular Vine copulas which are a novel and recently developed statistical…
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Copulas with a full-range tail dependence property can cover the widestrange of positive dependence in the tail,…
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The aim of this article is to improve the internal model of the solvency 2 framework, by…
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One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized…
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Relationships between loss variables covered by multi‐year, multi‐line reinsurance are complicated in the sense that correlation may…
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  This paper features the application of a novel and recently developed method of statistical and mathematical…
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Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses…
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This paper studies, for the first time, the dependence of extreme events in energy markets. Based on…
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We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate…
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The (additive) generator of an Archimedean copula - as well as the inverse of the generator -…
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Insurance Portfolio Risk Aggregation – a practitioner’s view   Ivelin Zvezdov MPRA Paper No. 38953
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This paper develops two copula models for fitting the insurance claim numbers with excess zeros and time-dependence.…
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Notions of positive dependence and copulas play important roles in modeling dependent risks. The invariant properties of…
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Regression analysis is one of the most commonly used statistical methods. But in its basic form, ordinary…
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Notions of positive dependence and copulas play important roles in modeling dependent risks. The invariant properties of…
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In this article, we provide an alternative evidence of asymmetric information in automobile insurance based on a…
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This paper deals with the problem of estimating the tail of a bivariate distribution function. To this…
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This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas…
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Copulas are an elegant mathematical tool for decoupling a joint distribution into the marginal component and the…
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The purpose of this paper is to present a comprehensive simulation study on the finite sample properties…
Investigating dependence structure between variables is important when modeling multivariate data in the study of finance and…
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In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in…
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Pension plans and life insurances offering minimum performance guarantees are very common worldwide. In the Brazilian market,…
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This paper discusses the uses of copulas for modelling multivariate density functions and explains how copula methods…
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A rare event happens with an extremely small probability but may cost billions of dollars. How to…
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This paper presents an overview of the literature on applications of copulas in the modelling of financial…
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The purpose of this paper consists in analysing the relevance of dependence concepts in finance, insurance and…
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Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change…
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We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate margins.…
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Integrated Risk Management (IRM) is concerned with the quantitative description of risks to a financial business. Whereas…
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