Measuring the impact of dependence between claims occurrences.

DOI10.1016/S0167-6687(01)00088-9zbMath1033.62100OpenAlexW2003710084MaRDI QIDQ1413295

Sergey Utev, Claude Lefèvre, Michel M. Denuit

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00088-9

zbMATH Keywords

\(s\)-Convex probabilistic orderings and metricsDependent claim occurrencesIndividual risk modelPositive and negative association

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Precise large deviations for sums of random variables with consistently varying tails ⋮ Precise large deviations for negatively associated random variables with consistently varying tails ⋮ A new method for bounding the distance between sums of independent integer-valued random variables ⋮ A large deviation result for aggregate claims with dependent claim occurrences ⋮ Negative dependence and stochastic orderings ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ Discrete Schur-constant models ⋮ Large deviations for sums of random vectors attracted to operator semi-stable laws ⋮ An extension of Davis and Lo's contagion model ⋮ The binomial distribution with dependent Bernoulli trials ⋮ Max-factor individual risk models with application to credit portfolios

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