Measuring the impact of dependence between claims occurrences

The purpose of this paper is to provide a quantitative measure of the impact of a possible dependence between the occurrences of claims in an individual risk model. Firstly, probabilistic distances, of stop-loss or total variation types, specific to arithmetic random variables are introduced and stu...

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Veröffentlicht in:	Insurance, mathematics & economics mathematics & economics, 2002-02, Vol.30 (1), p.1-19
Hauptverfasser:	Denuit, Michel, Lefèvre, Claude, Utev, Sergey
Format:	Artikel
Sprache:	eng
Schlagworte:	Dependent claim occurrences Economic models Economics Individual risk model Insurance Insurance claims Mathematical economics Positive and negative association Random variables Risk s-Convex probabilistic orderings and metrics
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