CMPH: a multivariate phase-type aggregate loss distribution (Q1648668): Difference between revisions

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+Multivariate Phase-Type Distributions
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+TVaR-based capital allocation with copulas
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+Multivariate risk model of phase type
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+Weighted risk capital allocations
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+Weighted Pricing Functionals With Applications to Insurance
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+BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL
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+Analysis of a multivariate claim process
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