The Concept of Comonotonicity in Actuarial Science and Finance: Applications

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Description

The Concept of Comonotonicity in Actuarial Science and Finance: Applications is a well researched actuarial science project topic, it can be used as a guide or framework for your Academic Research.

Abstract

 

In an insurance context, one is often interested in the distribution
function of a sum of random variables. Such a sum appears when
considering the aggregate claims of an insurance portfolio over a cer-
tain reference period. It also appears when considering discounted
payments related to a single policy or a portfolio, at different future
points in time. The assumption of mutual independence between the
components of the sum is very convenient from a computational point
of view, but sometimes not a realistic one. In The Concept of Comono-
tonicity in Actuarial Science and Finance: Theory, we determined ap-
proximations for sums of random variables, when the distributions of
the components are known, but the stochastic dependence structure
between them is unknown or too cumbersome to work with. Practi-
cal applications of this theory will be considered in this paper. Both
papers are to a large extent an overview of recent research results ob-
tained by the authors, but also new theoretical and practical results
are presented.

Brand

YourPastQuestions Brand

Additional information

Type

Project Topic and Material

Category

Actuarial Science

No of Chapters

No of Chapters: 5

Reference

Yes

Format

PDF

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