基地研究员胡祥副教授及其合作者论文《Multivariate distributions with time and cross-dependence: Aggregation and capital allocation》在国际精算师协会会刊ASTIN Bulletin: The Journal of the International Actuarial Association发表。

Abstract: This paper investigates risk aggregation and capital allocation problems for an insurance portfolio consisting of several lines of business. The class of multivariate INAR(1) processes is proposed to model different sources of dependence between the number of claims of the portfolio. The total capital required for the whole portfolio is evaluated under the TVaR risk measure, and the contribution of each line of business is derived under the TVaR-based allocation rule. We provide the risk aggregation and capital allocation formulas in the general case of continuous and strictly positive claim sizes and then in the case of mixed Erlang claim sizes. The impact of both time dependence and cross-dependence on the behavior of risk aggregation and capital allocation is numerically illustrated.

论文链接：MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION | ASTIN Bulletin: The Journal of the IAA | Cambridge Core

教师简介

胡祥，中南财经政法大学金融学院副教授，中南财经政法大学“文澜青年学者”，主要研究方向为保险精算与风险管理。在Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, North American Actuarial Journal以及《统计研究》《保险研究》等学术期刊发表论文20余篇，主持并参与多项国家自然科学基金和国家社科基金项目。