Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (Q2443236): Difference between revisions
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Revision as of 13:21, 11 February 2024
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 |
Statements
Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (English)
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4 April 2014
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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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