Στοχαστικές διατάξεις και εξάρτηση στη θεωρία κινδύνων
Stochastic orderings and dependence in actuarial risk theory
Subject
Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Στοχαστικές ανελίξεις -- Μαθηματικά υποδείγματαAbstract
In recent decades, a basic assumption made in risk theory is that the risks associated with a portfolio, are stochastically independent of each other as well as with their occurrence times. This assumption is actually not very realistic. In this paper, we will study a series of models developed in recent years mainly through stochastic orderings that do not have the independence of variables involved. We will present the main properties of stochastic orderings of the theoretical point of view and interpret them from a variety of numerical applications. Then we will present a series of stochastic generalizations of known orderings, both to the one-dimensional and multidimensional form, citing applications from the wide range of actuarial science. Finally, we present some results of the risk theory models with dependence which find application mainly in finance.
Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές