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Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims
Journal of Multivariate Analysis ( IF 1.4 ) Pub Date : 2020-07-01 , DOI: 10.1016/j.jmva.2020.104620
Saeed Ariyafar , Mahbanoo Tata , Mohsen Rezapour , Mohsen Madadi

Abstract The comparison of two risky portfolios has always been of interest in insurance and finance. Classically, it is often assumed that the portfolio claims are independent, but in practice, this assumption is not usually true and we need to study portfolios with dependent claims. In this paper, we consider two risky portfolios with dependent claims whose dependencies are modeled using Archimedean copulas and compare the aggregation and minimum of these portfolios with respect to the Laplace transform order. Moreover, we compare the maxima of two interdependent portfolios by the usual stochastic order.

中文翻译:

两个具有相关债权的风险投资组合的汇总、最小值和最大值的比较

摘要 两个风险投资组合的比较一直是保险和金融领域的兴趣所在。传统上,通常假设投资组合的权利要求是独立的,但在实践中,这个假设通常不正确,我们需要研究具有从属权利要求的投资组合。在本文中,我们考虑两个具有依赖声明的风险投资组合,其依赖关系使用阿基米德联结模型进行建模,并根据拉普拉斯变换阶比较这些投资组合的聚合和最小值。此外,我们通过通常的随机顺序比较两个相互依赖的投资组合的最大值。
更新日期:2020-07-01
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