Abstract
AbstractIn this paper, we study the tail risk measures for several commonly used multivariate aggregate loss models where the claim frequencies are dependent but the claim sizes are mutually independent and independent of the claim frequencies. We first develop formulas for the moment (or size biased) transforms of the multivariate aggregate losses, showing their relationship with the moment transforms of the claim frequencies and claim sizes. Then, we apply the formulas to compute some popular risk measures such as the tail conditional expectation and tail variance of the multivariate aggregated losses and to perform capital allocation analysis.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
