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Parametric divisibility of stochastic losses

Oskar Laverny · Alessandro Ferriero · Ecaterina Nisipasu首次提交 2022-10-12 · 修订 2022-10-12 · v1arXiv预印本

随机损失分布的参数化可分性AI 解读

A probability distribution is n-divisible if its nth convolution root exists. While modeling the dependence structure between several (re)insurance losses by an additive risk factor model, the infinite divisibility, that is the $n$ -divisibility for all $n \in\mathbb N$ , is a very desirable property. Moreover, the capacity to compute the distribution of a piece (i.e., a convolution root) is also desirable. Unfortunately, if many useful distributions are infinitely divisible,…A probability distribution is n-divisible if its nth convolution root exists. While modeling the dependence structure between several (re)insurance losses by an additive risk factor model, the infinite divisibility, that is the $n$-divisibility for all $n \in\mathbb N$, is a very desirable property. Moreover, the capacity to compute the distribution of a piece (i.e., a convolution root) is also desirable. Unfortunately, if many useful distributions are infinitely divisible,…

因子模型

关联记录被引 0 次 ↗OpenAlex · 核验 2026-09-30

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