Project CEMAPRE internal
|Title||More on Risk Dependencies|
|Participants||João Andrade e Silva, Maria de Lourdes Centeno (Principal Investigator)|
|Summary||This project is about the impact of risk dependencies on insurance, in what concerns ratemaking (the|
premiums that should be charged in a given portfolio).
Traditionally, these aspects of Risk Theory in the insurance context have been built upon the
assumption of independence among risks. In reality, dependencies are pervasive. Claims on different
covers are often stochastically related. Claim severities can be related to claim numbers and claims
from different policies can also be related. These effects are particularly significant in the case
of extreme events, and all of them are included in this project. Their impact in the insurer's
activity is tightly connected with the type and structure of dependencies present in the portfolio.
Therefore we will pay particular attention to dependency modelling, considering several different
structures. We will start by considering that dependence exists among claim numbers, but that
severities are independent, in both the main activities of the project. Then, we will move to other
more complex models.