Common mixture in the individual risk model

MaRDI QIDQ3562660zbMATH OpenFDO

Authors Hélène Cossette, Patrice Gaillardetz, É. Marceau

Publication date 27 May 2010

zbMATH Keywords

Archimedean copulascompound Poisson approximationcredit riskinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Compound Poisson approximations for individual models with dependent risks.
• The compound Poisson approximation for a portfolio of dependent risks
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• On two dependent individual risk models.
• Collective risk models with dependence

Cited in

(8)

• On two dependent individual risk models.
• Compound Poisson approximations for individual models with dependent risks.
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• Sum of Bernoulli mixtures: beyond conditional independence
• Risk measurement for portfolio credit risk based on a mixed Poisson model
• Joint probability generating function for a vector of arbitrary indicator variables
• Common shock models for claim arrays
• Empirical investigation of insurance claim dependencies using mixture models

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