ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS

DOI10.1017/asb.2014.24zbMath1390.62208OpenAlexW2012926867MaRDI QIDQ4563734

Gildas Ratovomirija, Enkelejd Hashorva

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/295972/files/S0515036114000245.pdf

zbMATH Keywords

dependence measurescapital allocationmixed Erlang distributionrisk aggregationSarmanov distribution

Mathematics Subject Classification ID

Related Items (14)

COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk ⋮ Fitting the Erlang mixture model to data via a GEM-CMM algorithm ⋮ Bivariate Sarmanov phase-type distributions for joint lifetimes modeling ⋮ EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION ⋮ On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation ⋮ A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures ⋮ Conditional tail risk measures for the skewed generalised hyperbolic family ⋮ Fitting multivariate Erlang mixtures to data: a roughness penalty approach ⋮ On the consistency of penalized MLEs for Erlang mixtures ⋮ On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution ⋮ Capital allocation for Sarmanov's class of distributions ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions

Uses Software

• QRM

Cites Work

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