Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation

DOI10.1016/j.insmatheco.2013.03.006zbMath1284.60027OpenAlexW2072713994MaRDI QIDQ2443236

Khouzeima Moutanabbir, Marie-Pier Côté, Hélène Cossette, Étienne Marceau

Publication date: 4 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.006

zbMATH Keywords

risk measurescapital allocationmixed Erlang distributionFGM copulatail-value-at-riskaggregate claim losscovariance-based allocation ruleTVaR-based allocation rule

Mathematics Subject Classification ID

Related Items (38)

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