AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS

DOI10.1017/asb.2018.13zbMath1404.62116arXiv1705.00289OpenAlexW2963475085WikidataQ115563893 ScholiaQ115563893MaRDI QIDQ4691248

Vanesa Jordá, Emilio Gómez-Déniz, Faustino Prieto, José María Sarabia

Publication date: 19 October 2018

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

Full work available at URL: https://arxiv.org/abs/1705.00289

zbMATH Keywords

aggregationLaplace transformdependent random variablescollective risk modelpartial Bell polynomialsmixtures of gamma distributions

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS, Copula-based measurement error models, Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type, Multivariate matrix-exponential affine mixtures and their applications in risk theory, Risk aggregation and capital allocation using a new generalized Archimedean copula, Dependence in a background risk model, A comprehensive family of copulas to model bivariate random noise and perturbation, Ranking the extreme claim amounts in dependent individual risk models, The construction of a quadratic predictor of the discounted renewal claims with dependence, Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

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