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Calculating and communicating tail association and the risk of extreme loss

Sweeting, Paul, Fotiou, Fotis (2013) Calculating and communicating tail association and the risk of extreme loss. British Actuarial Journal, 18 (1). pp. 13-72. ISSN 1357-3217. (doi:10.1017/S1357321712000347) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:47888)

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http://dx.doi.org/10.1017/S1357321712000347

Abstract

In this paper we examine two aspects of extreme events: their calculation and their communication. In relation to calculation, there are two types of extreme events that are considered.

The second type of extreme event arises from combinations of losses from a series of risks that together result in total losses exceeding a particular level. This is measured using ruin lines or, in higher dimensions, planes and hyperplanes. The probability of ruin and the economic cost of ruin are considered here. In this context, it is important to consider what the term “loss” actually means, and whether it is in relation to a current set of exposures or a potential strategy.

The communication of extreme events is discussed not just in terms of the numbers that can be used, but in terms of the graphical methods that can be used to aggregate information on a range of risk combinations. This involves communicating not just the level of risk but also the importance of the risk considered.

Item Type: Article
DOI/Identification number: 10.1017/S1357321712000347
Uncontrolled keywords: Copulas; Correlation; Dependence; Tail association; Extreme Value Theory; Probability of Ruin
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Paul Sweeting
Date Deposited: 08 Apr 2015 12:24 UTC
Last Modified: 16 Feb 2021 13:23 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/47888 (The current URI for this page, for reference purposes)
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