IDEAS home Printed from https://ideas.repec.org/a/bla/stanee/v56y2002i3p253-269.html
   My bibliography  Save this article

Some problems in actuarial finance involving sums of dependent risks

Author

Listed:
  • M. J. Goovaerts
  • R. Kaas

Abstract

A trend in actuarial finance is to combine technical risk with interest risk. If Yt, t= 1, 2,… denotes the time–value of money (discount factors at time t) and Xt the stochastic payments to be made at time t, the random variable of interest is often the scalar product of these two random vectors V=ΣXt Yt. The vectors X? and Y? are supposed to be independent, although in general they have dependent components. The current insurance practice based on the law of large numbers disregards the stochastic financial aspects of insurance. On the other hand, introduction of the variables Y1,Y2, … to describe the financial aspects necessitates estimation or knowledge of their distribution function. We investigate some statistical models for problems of insurance and finance, including Risk Based Capital/Value at Risk, Asset Liability Management, the distribution of annuities, cash flow evaluations (in the framework of pension funds, embedded value of a portfolio, Asian options) and provisions for claims incurred, but not reported (IBNR).

Suggested Citation

  • M. J. Goovaerts & R. Kaas, 2002. "Some problems in actuarial finance involving sums of dependent risks," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(3), pages 253-269, August.
    • Handle: RePEc:bla:stanee:v:56:y:2002:i:3:p:253-269
    DOI: 10.1111/1467-9574.03600
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9574.03600
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9574.03600?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    2. M. Goovaerts & A. De Schepper & Y. Hua & G. Darkiewicz & D: Vyncke, 2005. "On the Use of Copulas for Calculating the Present Value of a General Cash Flow," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 69-94.
    3. Zhang, Zhiqiang & Yuen, Kam C. & Li, Wai Keung, 2007. "A time-series risk model with constant interest for dependent classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 32-40, July.
    4. Vanduffel, S. & Dhaene, J. & Goovaerts, M. & Kaas, R., 2003. "The hurdle-race problem," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 405-413, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:stanee:v:56:y:2002:i:3:p:253-269. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0039-0402 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.