Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis

DOI10.1080/10920277.2016.1161525zbMath1414.91154OpenAlexW1562373920MaRDI QIDQ5379180

Jean-Philippe Boucher, Julien Trufin, Anas Abdallah, Hélène Cossette

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/233427/3/LossReservingSarmanov_VersionNAAJ.pdf

zbMATH Keywords

insurance portfolioSarmanov family of bivariate distributions

Mathematics Subject Classification ID

Related Items (4)

On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk ⋮ Bivariate Sarmanov phase-type distributions for joint lifetimes modeling ⋮ On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS

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