The Concept of Comonotonicity in Actuarial Science and Finance: Applications


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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.



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.


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Actuarial Science

No of Chapters

No of Chapters: 5






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