On the distribution of a sum of correlated aggregate claims

DOI10.1016/S0167-6687(98)00018-3zbMath0916.62072WikidataQ127860133 ScholiaQ127860133MaRDI QIDQ1276463

Rohana S. Ambagaspitiya

Publication date: 4 July 1999

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

zbMATH Keywords

compound Poisson distributionmultivariate discrete distributionsmultivariate Poisson distributioncorrelated aggregate claims

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (18)

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ Ruin probability for correlated negative risk sums model with Erlang processes ⋮ Ruin probabilities in multivariate risk models with periodic common shock ⋮ On a correlated aggregate claims model with thinning-dependence structure ⋮ Does positive dependence between individual risks increase stop-loss premiums? ⋮ Ruin probabilities for time-correlated claims in the compound binomial model. ⋮ Laplace transform ordering of actuarial quantities. ⋮ On a correlated aggregate claims model with Poisson and Erlang risk processes. ⋮ Aggregate survival probability of a portfolio with dependent subportfolios. ⋮ Multivariate insurance models: an overview ⋮ Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios ⋮ Polynomial approximations for bivariate aggregate claims amount probability distributions ⋮ Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach ⋮ Cox risk model with correlated classes of business ⋮ A time-series risk model with constant interest for dependent classes of business ⋮ A Markov Risk Model with Two Classes of Insurance Business ⋮ The discrete-time risk model with correlated classes of business ⋮ On the distributions of two classes of correlated aggregate claims

Cites Work

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• A family of discrete distributions
• On Infinitely Divisible Random Vectors

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