Actuarial Theory for Dependent Risks: Measures, Orders and Models by M. Denuit
English | PDF | 2005 | 445 Pages | ISBN : 047001492X | 5.93 MB
The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to what extent? Therefore tools to quantify, compare, and model the strength of dependence between different risks are vital. Combining coverage of stochastic order and risk measure theories with the basics of risk management and stochastic dependence, this book provides an essential guide to managing modern financial risk.