Risk aggregation with FGM copulas
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Publication:6171947
DOI10.1016/j.insmatheco.2023.03.002zbMath1520.91312arXiv2207.14692OpenAlexW4361248461MaRDI QIDQ6171947
Hélène Cossette, Christopher Blier-Wong, Étienne Marceau
Publication date: 18 July 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2207.14692
order statisticsstochastic orderstochastic representationcapital allocationrisk-sharingmixed Erlang distributions
Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial mathematics (91G05)
Related Items (2)
The topological structures of the spaces of diagonal and opposite diagonal functions with the uniform metric ⋮ A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
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