A multivariate aggregate loss model

DOI10.1016/J.INSMATHECO.2012.06.009zbMath1284.91267OpenAlexW2041514046MaRDI QIDQ2445352

Jiandong Ren

Publication date: 14 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.06.009

zbMATH Keywords

dependenceMarkovian arrival processesmultivariate aggregate lossespresent values of aggregate losses

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (7)

Third cumulant for multivariate aggregate claim models ⋮ Transform approach for discounted aggregate claims in a risk model with descendant claims ⋮ Simple risk measure calculations for sums of positive random variables ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ A Risk Model Based on Markov Chains with Marked Transitions

Cites Work

• On the discounted penalty function in a Markov-dependent risk model
• Moments of claims in a Markovian environment
• Classical risk theory in an economic environment
• Markov chains with marked transitions
• Dependent Multi-Peril Ratemaking Models
• Covariate Adjustment of Event Histories Estimated from Markov Chains: The Additive Approach
• Probability of ruin for a risk process with claims cost inflation
• Applied Probability and Queues
• The total claims distribution under inflationary conditions
• Hierarchical Insurance Claims Modeling
• A Regime-Switching Model of Long-Term Stock Returns
• Moments of compound renewal sums with discounted claims
• Dependence measures for extreme value analyses

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