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Dependence models generated via line integral with applications in insurance and finance

Grant number: 21/14790-0
Support Opportunities:Scholarships abroad - Research
Start date: May 01, 2022
End date: December 31, 2022
Field of knowledge:Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
Principal Investigator:Nikolai Valtchev Kolev
Grantee:Nikolai Valtchev Kolev
Host Investigator: Matthias Scherer
Host Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
Institution abroad: Technical University of Munich, Garching (TUM), Germany  
Associated research grant:13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry, AP.CEPID

Abstract

Bivariate and multivariate models based on the line integral representation of the joint survival function possessing continuous or discrete Sibuya-type aging property will be introduced, investigated and applied to real problems in Insurance and Finance. (AU)

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