Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios
DOI10.1080/03610926.2017.1343844OpenAlexW2728028331MaRDI QIDQ5160212
Ghobad Barmalzan, Amir T. Payandeh Najafabadi, Narayanaswamy Balakrishnan
Publication date: 28 October 2021
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2017.1343844
value-at-risknegatively associatedtail-value-at-riskmultivariate chain majorizationMarshall-Olkin extended exponential distributionaggregate claim amountspositive cumulative dependence
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
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