The order-statistic claim process with dependent claim frequencies and severities

DOI10.1080/15598608.2012.719736zbMath1425.62072OpenAlexW1997405853MaRDI QIDQ2320793

Ričardas Zitikis, Kristina P. Sendova

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2012.719736

zbMATH Keywords

risk measurefrequency distributionvariance risk measureclaim processaggregate claimorder-statistic point processOS point processseverity distributionstandard-deviation risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS ⋮ Duality in ruin problems for ordered risk models ⋮ On the evaluation of finite-time ruin probabilities in a dependent risk model ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ Ruin and deficit under claim arrivals with the order statistics property

Uses Software

• QRM

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