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Modeling and Generating Dependent Risk Processes for IRM and DFA

Published online by Cambridge University Press:  17 April 2015

Dietmar Pfeifer  and
Johana Nešlehová
Dietmar Pfeifer
Affiliation:
Institut für Mathematik, Fakultät für Naturwissenschaften und Mathematik, Carl von Ossietzky Universität, D-26111 Oldenburg, Germany, E-mail: dietmar.pfeifer@uni-oldenburg.de, Web: www.mathematik.uni-oldenburg.de/personen/pfeifer/pfeifer.html, and AON Jauch&Hübener, Heidenkampsweg 58, D-20059 Hamburg, Germany, Web: www.aon.com/de/ge/
Johana Nešlehová
Affiliation:
RiskLab, ETH-Zentrum, CH-8092 Zürich, Switzerland, E-mail: neslehova@math.ethz.ch, Web: www.risklab.ch/
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Abstract

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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.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 2 , November 2004 , pp. 333 - 360
Copyright
Copyright © ASTIN Bulletin 2004

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