On two dependent individual risk models

被引：36

作者：

Cossette, H

Gaillardetz, P

Marceau, É

Rioux, J

机构：

[1] Univ Laval, Ecole Actuariat, Ste Foy, PQ G1K 7P4, Canada

[2] Drake Univ, Coll Business & Publ Adm, Des Moines, IA 50311 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2002年 / 30卷 / 02期

基金：

加拿大自然科学与工程研究理事会;

关键词：

dependent risks; individual risk model; copulas;

D O I：

10.1016/S0167-6687(02)00094-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we propose two constructions which allow dependence between the risks of an insurance portfolio in the individual risk model. In the first construction, each risk's experience is influenced by an individual and a collective risk factor, as well as a class factor if the portfolio is divided into different classes. The second construction uses copulas. The impact on the cumulative distribution function of the aggregate claim amount and on the stop-loss premium is presented via numerical examples. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：153 / 166

页数：14

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