Premium
Control and Out‐of‐Sample Validation of Dependent Risks
Author(s) -
Gourieroux Christian,
Liu Wei
Publication year - 2009
Publication title -
journal of risk and insurance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.055
H-Index - 63
eISSN - 1539-6975
pISSN - 0022-4367
DOI - 10.1111/j.1539-6975.2009.01309.x
Subject(s) - univariate , multivariate statistics , econometrics , sample (material) , interpretation (philosophy) , function (biology) , computer science , control (management) , statistics , economics , mathematics , artificial intelligence , machine learning , chemistry , chromatography , evolutionary biology , biology , programming language
This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in the validation criterion and its conditional interpretation. Univariate and multivariate examples are discussed in detail.