Aggregate survival probability of a portfolio with dependent subportfolios.
type: Item
instance of: scholarly article
title: Aggregate survival probability of a portfolio with dependent subportfolios.
zbMATH Open document ID: 1066.91064
DOI: 10.1016/S0167-6687(03)00131-8
author: Rohana S. Ambagaspitiya
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
review text: The survival probability of a collective risk portfolio containing \(p\) dependent subportfolios is given explicitly, where claim inter-arrival times have a multivariate gamma distribution. Dimension reduction is under consideration.
Mathematics Subject Classification ID: 91B38
Mathematics Subject Classification ID: 91-02
zbMATH DE Number: 2004091
zbMATH Keywords: multivariate Gamma distribution
reviewed by: Gong Guanglu
MaRDI profile type: Publication
cites work: On the distribution of a sum of correlated aggregate claims
cites work: On the distributions of two classes of correlated aggregate claims
cites work: Ruin probabilities for Erlang (2) risk processes
cites work: Q4493303
cites work: Q5829350
description: scientific article; zbMATH DE number 2004091