In this paper, we introduce tail dependene measures for collateral losses from catastrophic events. To calculate these measures, we use bivariate compound process where a Cox process with shot noise intensity is used ...In this paper, we introduce tail dependene measures for collateral losses from catastrophic events. To calculate these measures, we use bivariate compound process where a Cox process with shot noise intensity is used to count collateral losses. A homogeneous Poisson process is also examined as its counterpart for the case where the catastrophic loss frequency rate is deterministic. Joint Laplace transform of the distribution of the aggregate collateral losses is derived and joint Fast Fourier transform is used to obtain the joint distributions of aggregate collateral losses. For numerical illustrations, a member of Farlie-Gumbel-Morgenstern copula with exponential margins is used. The figures of the joint distributions of collateral losses, their contours and numerical calculations of risk measures are also provided.展开更多
胆胰管系统疾病的诊断以往主要依靠 B 超、CT 和内窥镜逆行胰胆管造影(ERCP)等检查.磁共振胆胰管成象(magneticresonance cholangiopancreatography,MRCP)是一种无创性显示胆胰管结构的新技术,自1991年德国学者 Wallner et al 首次报道...胆胰管系统疾病的诊断以往主要依靠 B 超、CT 和内窥镜逆行胰胆管造影(ERCP)等检查.磁共振胆胰管成象(magneticresonance cholangiopancreatography,MRCP)是一种无创性显示胆胰管结构的新技术,自1991年德国学者 Wallner et al 首次报道以来,已逐渐应用到临床,其前景十分广阔.目前国内外报道 MRCP 成象序列主要是快速自旋回波序列(fast展开更多
文摘In this paper, we introduce tail dependene measures for collateral losses from catastrophic events. To calculate these measures, we use bivariate compound process where a Cox process with shot noise intensity is used to count collateral losses. A homogeneous Poisson process is also examined as its counterpart for the case where the catastrophic loss frequency rate is deterministic. Joint Laplace transform of the distribution of the aggregate collateral losses is derived and joint Fast Fourier transform is used to obtain the joint distributions of aggregate collateral losses. For numerical illustrations, a member of Farlie-Gumbel-Morgenstern copula with exponential margins is used. The figures of the joint distributions of collateral losses, their contours and numerical calculations of risk measures are also provided.
文摘胆胰管系统疾病的诊断以往主要依靠 B 超、CT 和内窥镜逆行胰胆管造影(ERCP)等检查.磁共振胆胰管成象(magneticresonance cholangiopancreatography,MRCP)是一种无创性显示胆胰管结构的新技术,自1991年德国学者 Wallner et al 首次报道以来,已逐渐应用到临床,其前景十分广阔.目前国内外报道 MRCP 成象序列主要是快速自旋回波序列(fast