2 papers
stat.ME2024
Stochastic Loss Reserving: Dependence and Estimation
Andrew Fleck, Edward Furman, Yang Shen
Nowadays insurers have to account for potentially complex dependence between risks. In the field of loss reserving, there are many parametric and non-parametric models attempting t…
q-fin.RM2024
Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws
Andrew Fleck, Edward Furman, Yang Shen
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative…