On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution

DOI10.1016/J.INSMATHECO.2018.01.006zbMath1401.62216OpenAlexW2612578424MaRDI QIDQ1742721

Raluca Vernic

Publication date: 12 April 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.006

zbMATH Keywords

fast Fourier transform methodrecursive evaluationmultivariate compound modelPanjer's class of distributionsSarmanov's multivariate discrete distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (2)

Bivariate Sarmanov phase-type distributions for joint lifetimes modeling ⋮ On the convergence of bivariate order statistics: almost sure convergence and convergence rate

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