Compound sum distributions with dependence

DOI10.1080/02331888.2021.1919110MaRDI QIDQ5004990zbMATH OpenOpenAlexFDO

Authors Hok Shing Kwong, Fatih Tank, Saralees Nadarajah

Publication date 4 August 2021

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2021.1919110

zbMATH Keywords

method of momentscompound Poisson distributioninsuranceco-skewnessco-kurtosis

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Applications of statistics to economics (62P20)

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Cites work

• A dependent frequency-severity approach to modeling longitudinal insurance claims
• Applied stochastic processes
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• Joint modelling of the total amount and the number of claims by conditionals
• Mathematics and statistics for financial risk management
• Mean and dispersion modelling for policy claims costs
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• On copula-based collective risk models: from elliptical copulas to vine copulas
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Risk aggregation in multivariate dependent Pareto distributions
• Risk and asset allocation.
• Variability of total claim amounts under dependence between claims severity and number of events

Cited in

(12)

• The moments of sum of correlated random variables
• scientific article; zbMATH DE number 2166498 (Why is no real title available?)
• COMPOUND RANDOM VARIABLES
• Random sums of exchangeable variables and actuarial applications
• The distribution of compound sums of Pareto distributed losses
• scientific article; zbMATH DE number 495886 (Why is no real title available?)
• Modeling of two compound-life based on dependence structure
• On sums of dependent random lifetimes under the time-transformed exponential model
• Compound Poisson approximations for individual models with dependent risks.
• On compound sums under dependence
• Efficient expressions for moments of dependent random sums using copulas
• Multinomial model for random sums

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Uses Software

• R

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