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Third cumulant for multivariate aggregate claim models
Dipartimento di Economia, Società e Politica, Università degli Studi di Urbino “Carlo Bo”, Urbino (PU), Italy.
Örebro University, Örebro University School of Business. Unit of Statistics.
Department of Statistics, Lund University, Lund, Sweden.
2018 (English)In: Scandinavian Actuarial Journal, ISSN 0346-1238, E-ISSN 1651-2030, no 2, p. 109-128Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2018. no 2, p. 109-128
Keywords [en]
Third cumulant, multivariate aggregate claim, skew-normal, Laplace motion
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-57530DOI: 10.1080/03461238.2017.1306795ISI: 000423878900002OAI: oai:DiVA.org:oru-57530DiVA, id: diva2:1092168
Funder
Swedish Research Council, 2013-5180Riksbankens Jubileumsfond, P13-1024:1Available from: 2017-05-01 Created: 2017-05-01 Last updated: 2018-02-12Bibliographically approved

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Mazur, Stepan

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CiteExportLink to record
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