On compound sums under dependence

DOI10.1016/j.insmatheco.2016.12.003zbMath1394.91213OpenAlexW2562049627MaRDI QIDQ506094

Serkan N. Eryılmaz

Publication date: 31 January 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.12.003

zbMATH Keywords

probability generating functionwaiting timesdependencephase-type distributionscompound distributions

Mathematics Subject Classification ID

Related Items (4)

Exact distribution of random order statistics and applications in risk management ⋮ A generalized class of correlated run shock models ⋮ On bivariate compound sums ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

Cites Work

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• Randomly stopped sums of not identically distributed heavy tailed random variables
• A simple compound scan statistic useful for modeling insurance and risk management problems
• A ruin model with dependence between claim sizes and claim intervals
• The distributions of sum, minima and maxima of generalized geometric random variables
• Random sums of exchangeable variables and actuarial applications
• A lifetime model with increasing failure rate
• Recursions for compound phase distributions

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