On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies

DOI10.1016/S0167-6687(02)00210-XzbMath1025.62042OpenAlexW2050610473MaRDI QIDQ1413390

Jesús Marín-Solano, Antonio Alegre, Carme Ribas

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00210-x

zbMATH Keywords

stop-loss orderaggregate claims distributionindividual life model(in)dependent riskscomonotonic risksmutually exclusive risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items

Recursions for the individual risk model ⋮ Compound Poisson and signed compound Poisson approximations to the Markov binomial law ⋮ Multivariate insurance models: an overview

Cites Work

• On dependence of risks and stop-loss premiums
• On a class of approximative computation methods in the individual risk model
• On the dependency of risks in the individual life model
• Recursions for the individual model
• The safest dependence structure among risks.
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Improved approximations for the aggregate claims distribution of a life insurance portfolio