Risk aggregation in multivariate dependent Pareto distributions

DOI10.1016/j.insmatheco.2016.07.009zbMath1371.91107arXiv1506.00559OpenAlexW2963285401MaRDI QIDQ2374106

Faustino Prieto, José María Sarabia, Vanesa Jordá, Emilio Gómez-Déniz

Publication date: 14 December 2016

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

Full work available at URL: https://arxiv.org/abs/1506.00559

zbMATH Keywords

hypergeometric functionscollective risk modelindividual risk modeldependent risksclassical Pareto distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (13)

A bivariate distribution with Lomax and geometric margins ⋮ COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Risk aggregation and capital allocation using a new generalized Archimedean copula ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Objective Bayesian inference for the reliability in a bivariate Lomax distribution ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS ⋮ Compound sum distributions with dependence ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

Uses Software

• Mathematica

Cites Work

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