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2024 | OriginalPaper | Chapter

20. Understanding and Modeling Dependent Risks

Author : Herfried Kohl

Published in: Managing SMEs in Times of Rapid Change, Uncertainty, and Disruption

Publisher: Springer Nature Switzerland

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Key Topics in This Chapter: Mainly Quantitative

The quantification and modelling of dependent risks is more challenging than that of independent risks and their portfolios. Our aim is to understand, describe, and model multivariate CDFs because they contain all we can know about dependent risks. This chapter deals with various aspects and techniques related to this topic:

A short collection of facts about matrices and determinants.
Concepts for describing dependence: Pearson’s, Spearman’s, and Kendall’s correlation measures.
Bivariate and multivariate normal distributions: Characteristics and modelling.
Multivariate binomial distribution.
Characteristics of multivariate PDFs and CDFs.
Fréchet–Hoeffding bounds for multivariate CDFs.
Copulas: The idea behind and Sklar’s theorem.
Examples of copulas.
Regression analysis.

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previous chapter Sums of Random Variables and Application to Risk Aggregation

next chapter Time-Dependent Random Variables and QRM

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Denuit M, Dhaene J, Goovaerts M, Kaas R (2005) Actuarial theory for dependent risks. WileyCrossRef

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Johnson N, Kotz S (1972) Continuous multivariate distributions. Wiley

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McNeil AJ, Frey R, Embrechts P (2015) Quantitative risk management. Princeton University Press

Severini TA (2005) Elements of distribution theory. Cambridge University PressCrossRef

Title: Understanding and Modeling Dependent Risks
Author: Herfried Kohl
Publisher: Springer Nature Switzerland
Book: Managing SMEs in Times of Rapid Change, Uncertainty, and Disruption
Print ISBN: 978-3-031-71271-5

Electronic ISBN: 978-3-031-71272-2

Copyright Year: 2024
DOI: https://doi.org/10.1007/978-3-031-71272-2_20