Abstract
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.
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