Modeling and Generating Dependent Risk Processes for IRM and DFA
dc.contributor.author
Pfeifer, Dietmar
dc.contributor.author
Nešlehová, Johanna
dc.date.accessioned
2023-06-26T08:25:00Z
dc.date.available
2020-06-25T10:57:46Z
dc.date.available
2023-06-26T08:25:00Z
dc.date.issued
2004-11
dc.identifier.issn
0515-0361
dc.identifier.issn
1783-1350
dc.identifier.other
10.1017/S0515036100013726
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/422505
dc.identifier.doi
10.3929/ethz-b-000422505
dc.description.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.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Cambridge University Press
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.title
Modeling and Generating Dependent Risk Processes for IRM and DFA
en_US
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
ASTIN Bulletin
ethz.journal.volume
34
en_US
ethz.journal.issue
2
en_US
ethz.journal.abbreviated
ASTIN bull.
ethz.pages.start
333
en_US
ethz.pages.end
360
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.notes
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
en_US
ethz.publication.place
Cambridge
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02204 - RiskLab / RiskLab
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02204 - RiskLab / RiskLab
ethz.date.deposited
2020-06-25T10:57:46Z
ethz.source
cambridge
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2020-06-29T10:06:11Z
ethz.rosetta.lastUpdated
2024-02-03T00:24:30Z
ethz.rosetta.versionExported
true
ethz.COinS
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