Aggregate survival probability of a portfolio with dependent subportfolios. (Q1413410)
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scientific article; zbMATH DE number 2004091
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Aggregate survival probability of a portfolio with dependent subportfolios. |
scientific article; zbMATH DE number 2004091 |
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Aggregate survival probability of a portfolio with dependent subportfolios. (English)
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16 November 2003
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The survival probability of a collective risk portfolio containing \(p\) dependent subportfolios is given explicitly, where claim inter-arrival times have a multivariate gamma distribution. Dimension reduction is under consideration.
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multivariate Gamma distribution
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