On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events Article Swipe

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Hélène Cossette , B. M. Cote , Alexandre Dubeau , Étienne Marceau · YOU? · · 2024 · Open Access · · DOI: https://doi.org/10.48550/arxiv.2412.00607

In many insurance contexts, dependence between risks of a portfolio may arise from their frequencies. We investigate a dependent risk model in which we assume the vector of count variables to be a tree-structured Markov random field with Poisson marginals. The tree structure translates into a wide variety of dependence schemes. We study the global risk of the portfolio and the risk allocation to all its constituents. We provide asymptotic results for portfolios defined on infinitely growing trees. To illustrate its flexibility and computational scalability to higher dimensions, we calibrate the risk model on real-world extreme rainfall data and perform a risk analysis.

Type

preprint

Language

en

Landing Page

http://arxiv.org/abs/2412.00607

PDF

https://arxiv.org/pdf/2412.00607

OA Status

green

Related Works

10

OpenAlex ID

https://openalex.org/W4405033379

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