Multinomial model for random sums

DOI10.1016/j.insmatheco.2005.05.005zbMath1129.62057OpenAlexW2093094788MaRDI QIDQ817284

Nikolai Kolev, Delhi Paiva

Publication date: 8 March 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.005

zbMATH Keywords

clustersimulationrandom sumsmaximum likelihoodcorrelation coefficientmultinomial distribution

Mathematics Subject Classification ID

Related Items (5)

Corrigendum to: ``A class of correlated weighted Poisson processes ⋮ Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications ⋮ Model risk in credit risk ⋮ Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings ⋮ Random sums of exchangeable variables and actuarial applications

Uses Software

• Ox

Cites Work

• On the distributions of two classes of correlated aggregate claims
• A family of partially correlated Poisson models for overdispersion
• The concept of comonotonicity in actuarial science and finance: theory.
• On two dependent individual risk models.
• Correlated INAR(1) process
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
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