Year: 2004
Type: article
Abstract: Modern Integrated Risk Management (IRM) and Dynamic Financial Analysis (DFA) rely in great part on an appropriate modeling of the stochastic behavior of the various risky assets and processes that influence the performance of the company under consideration. A major challenge here is a more substantial and realistic description and modeling of the various complex dependence structures between such risks showing up on all scales. In this presentation, we propose some approaches towards modeling and generating (simulating) dependent risk processes in the framework of collective risk theory, in particular w.r.t. dependent claim number processes of Poisson type (homogeneous and non-homogeneous), and compound Poisson processes.
Source: Astin Bulletin
Authors: Dietmar Pfeifer, Johana Nešlehová
Institutions: Carl von Ossietzky Universität Oldenburg, ETH Zurich
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2109672630