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Statistical analysis of dependencies within insurance portfolios
 

Summary: Statistical analysis of dependencies within
insurance portfolios
Viktor Lukocius
University of Twente
Statistical analysis of dependencies withininsurance portfolios p. 1/1
Outline
Introduction (What and how have been done)
Development of the models
The last model
Data for the last model implementation
Example of the dependence effect
Statistical analysis of dependencies withininsurance portfolios p. 2/1
Introduction
Rare events and the independence assumption
Alternative modelling of the aggregated sum S
Dependence effect analysis on the basis of the Stop-Loss
contract and Value at Risk (approximation is needed)
Parameters estimation
Estimation impact
Statistical analysis of dependencies withininsurance portfolios p. 3/1

  

Source: Al Hanbali, Ahmad - Department of Applied Mathematics, Universiteit Twente

 

Collections: Engineering