Third cumulant for multivariate aggregate claim models
(2018) In Scandinavian Actuarial Journal 2018(2). p.109-128- Abstract
The third cumulant for the aggregated multivariate claims is considered. A formula is presented for the general case when the aggregating variable is independent of the multivariate claims. Two important special cases are considered. In the first one, multivariate skewed normal claims are considered and aggregated by a Poisson variable. The second case is dealing with multivariate asymmetric generalized Laplace and aggregation is made by a negative binomial variable. Due to the invariance property the latter case can be derived directly, leading to the identity involving the cumulant of the claims and the aggregated claims. There is a well-established relation between asymmetric Laplace motion and negative binomial process that... (More)
The third cumulant for the aggregated multivariate claims is considered. A formula is presented for the general case when the aggregating variable is independent of the multivariate claims. Two important special cases are considered. In the first one, multivariate skewed normal claims are considered and aggregated by a Poisson variable. The second case is dealing with multivariate asymmetric generalized Laplace and aggregation is made by a negative binomial variable. Due to the invariance property the latter case can be derived directly, leading to the identity involving the cumulant of the claims and the aggregated claims. There is a well-established relation between asymmetric Laplace motion and negative binomial process that corresponds to the invariance principle of the aggregating claims for the generalized asymmetric Laplace distribution. We explore this relation and provide multivariate continuous time version of the results. It is discussed how these results that deal only with dependence in the claim sizes can be used to obtain a formula for the third cumulant for more complex aggregate models of multivariate claims in which the dependence is also in the aggregating variables.
(Less)
- author
- Loperfido, Nicola ; Mazur, Stepan LU and Podgórski, Krzysztof LU
- organization
- publishing date
- 2018-02-07
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Laplace motion, multivariate aggregate claim, skew-normal, Third cumulant
- in
- Scandinavian Actuarial Journal
- volume
- 2018
- issue
- 2
- pages
- 109 - 128
- publisher
- Taylor & Francis
- external identifiers
-
- scopus:85016308730
- ISSN
- 0346-1238
- DOI
- 10.1080/03461238.2017.1306795
- language
- English
- LU publication?
- yes
- id
- 2562b23f-6c27-4fbe-8a31-193d10538871
- date added to LUP
- 2017-04-12 14:18:41
- date last changed
- 2022-03-09 02:16:02
@article{2562b23f-6c27-4fbe-8a31-193d10538871,
abstract = {{<p>The third cumulant for the aggregated multivariate claims is considered. A formula is presented for the general case when the aggregating variable is independent of the multivariate claims. Two important special cases are considered. In the first one, multivariate skewed normal claims are considered and aggregated by a Poisson variable. The second case is dealing with multivariate asymmetric generalized Laplace and aggregation is made by a negative binomial variable. Due to the invariance property the latter case can be derived directly, leading to the identity involving the cumulant of the claims and the aggregated claims. There is a well-established relation between asymmetric Laplace motion and negative binomial process that corresponds to the invariance principle of the aggregating claims for the generalized asymmetric Laplace distribution. We explore this relation and provide multivariate continuous time version of the results. It is discussed how these results that deal only with dependence in the claim sizes can be used to obtain a formula for the third cumulant for more complex aggregate models of multivariate claims in which the dependence is also in the aggregating variables.</p>}},
author = {{Loperfido, Nicola and Mazur, Stepan and Podgórski, Krzysztof}},
issn = {{0346-1238}},
keywords = {{Laplace motion; multivariate aggregate claim; skew-normal; Third cumulant}},
language = {{eng}},
month = {{02}},
number = {{2}},
pages = {{109--128}},
publisher = {{Taylor & Francis}},
series = {{Scandinavian Actuarial Journal}},
title = {{Third cumulant for multivariate aggregate claim models}},
url = {{http://dx.doi.org/10.1080/03461238.2017.1306795}},
doi = {{10.1080/03461238.2017.1306795}},
volume = {{2018}},
year = {{2018}},
}