Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (Q2443236): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation	scientific article

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instance of

scholarly article

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title

Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (English)

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zbMATH Open document ID

1284.60027

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DOI

10.1016/j.insmatheco.2013.03.006

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author

Marie-Pier Côté

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Khouzeima Moutanabbir

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Hélène Cossette

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Étienne Marceau

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published in

Insurance Mathematics \& Economics

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publication date

4 April 2014

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Mathematics Subject Classification ID

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aggregate claim loss

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risk measures

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capital allocation

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tail-value-at-risk

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FGM copula

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TVaR-based allocation rule

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covariance-based allocation rule

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mixed Erlang distribution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2013.03.006

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OpenAlex ID

W2072713994

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cites work

Coherent Measures of Risk

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TVaR-based capital allocation with copulas

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Coherent risk measures, coherent capital allocations and the gradient allocation principle

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A copula-based model of speculative price dynamics in discrete time

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Analysis of the discounted sum of ascending ladder heights

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TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

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On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula

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Some results on the CTE-based capital allocation rule

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Decision principles derived from risk measures

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Worst VaR scenarios with given marginals and measures of association

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Q5706744

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An introduction to copulas.

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Q3281461

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Q4851818

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Claim dependence with common effects in credibility models

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Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times

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Sitelinks

Mathematics(1 entry)

mardi Publication:2443236

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+Hélène Cossette
@@ Property / author: Hélène Cossette / rank @@
+Normal rank
@@ Property / author @@
+Étienne Marceau
@@ Property / author: Étienne Marceau / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2013.03.006
+Normal rank
@@ Property / OpenAlex ID @@
+W2072713994
@@ Property / OpenAlex ID: W2072713994 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+TVaR-based capital allocation with copulas
@@ Property / cites work: TVaR-based capital allocation with copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent risk measures, coherent capital allocations and the gradient allocation principle
+Normal rank
@@ Property / cites work @@
+A copula-based model of speculative price dynamics in discrete time
+Normal rank
@@ Property / cites work @@
+Analysis of the discounted sum of ascending ladder heights
+Normal rank
@@ Property / cites work @@
+TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
+Normal rank
@@ Property / cites work @@
+On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
+Normal rank
@@ Property / cites work @@
+Some results on the CTE-based capital allocation rule
+Normal rank
@@ Property / cites work @@
+Decision principles derived from risk measures
@@ Property / cites work: Decision principles derived from risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Worst VaR scenarios with given marginals and measures of association
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3281461
@@ Property / cites work: Q3281461 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4851818
@@ Property / cites work: Q4851818 / rank @@
+Normal rank
@@ Property / cites work @@
+Claim dependence with common effects in credibility models
+Normal rank
@@ Property / cites work @@
+Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
+Normal rank