Dependence in actuarial science: multivariate models, risk assessment and claim reserving

精算科学中的依赖性：多元模型、风险评估和索赔准备金

• 批准号: RGPIN-2017-04273
• 负责人: Cossette, Hélène
• 金额: $ 2.81万
• 依托单位: Université Laval
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=635983
• 关键词: Dependence; actuarial; science; multivariate; models

The construction of actuarial models allowing dependence relationships has progressed since its beginning in the 1990’s and their application in different contexts has demonstrated their usefulness. Nonetheless, problems in industry remain unsolved and more suitable dependence structures as well as numerical tools to evaluate quantities of interest are needed. Risk models based on dependence structures are still at the center of ongoing research in different areas such as risk theory and loss reserving. Further developments are still required to provide more flexible and suitable dependence frameworks with the necessary efficient numerical methods to adequately quantify risks in such contexts.

允许依赖关系的精算模型的构建自1990年代开始以来取得了进展，它们在不同情况下的应用表明了它们的有用性。尽管如此，工业中的问题仍然没有解决，需要更合适的依赖结构以及数值工具来评估感兴趣的数量。基于依赖结构的风险模型仍然是风险理论和损失准备金等不同领域正在进行的研究的中心。仍然需要进一步的发展，以提供更灵活和合适的依赖框架，必要的有效的数值方法，以充分量化在这种情况下的风险。