Hierarchical Archimedean Dependence in Common Shock Models
Sign Up to like & getrecommendations! Published in 2020 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-020-09816-8
Abstract: In this paper we show how to extend a simple common shock model with Archimedean dependence of the hidden variables to the non-exchangeable case. The assumption is that the hidden risk factors are linked by… read more here.
Keywords: archimedean dependence; dependence; hierarchical archimedean; dependence common ... See more keywords
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Applied Mathematics and Computing"
DOI: 10.1007/s12190-017-1119-y
Abstract: In this paper, we study the optimal reinsurance and investment problem in a financial market with jump-diffusion risky asset. It is assumed that the insurance risk model is modulated by a compound Poisson process, and… read more here.
Keywords: financial market; common shock; reinsurance investment; optimal reinsurance ... See more keywords
Income tax evasion and audits under common and idiosyncratic shocks
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DOI: 10.1016/j.jebo.2021.01.022
Abstract: Abstract Common shocks affect the profits of ex ante identical self-employed entrepreneurs. From aggregate tax return data or other industry expertise, the tax collection agency can better estimate the common shock. With three profit realizations,… read more here.
Keywords: profit; common shock; evasion; tax ... See more keywords
Ruin probabilities in multivariate risk models with periodic common shock
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DOI: 10.1080/03461238.2015.1094404
Abstract: We propose a multidimensional risk model where the common shock affecting all classes of insurance business is arriving according to a non-homogeneous periodic Poisson process. In this multivariate setting, we derive upper bounds of Lundberg-type… read more here.
Keywords: risk; probabilities multivariate; ruin; ruin probabilities ... See more keywords
A dynamic bivariate common shock model with cumulative effect and its actuarial application
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DOI: 10.1080/03461238.2018.1470562
Abstract: Abstract Standard actuarial theory of multiple life insurance traditionally postulates independence for the remaining lifetimes mainly due to computational convenience rather than realism. In this paper, we propose a general common shock model for modelling… read more here.
Keywords: model; shock model; common shock; cumulative effect ... See more keywords
Private Information, Performance Measurement Bias, and Leading by Example
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DOI: 10.2308/jmar-51500
Abstract: ABSTRACT This paper studies the effect of performance measurement error and bias on the principal's preference for a leader, who signals private information about a favorable common shock to a follower. Without a leader, both… read more here.
Keywords: performance measurement; leader; common shock; performance ... See more keywords