On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation (Q2397867)
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scientific article
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| English | On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation |
scientific article |
Statements
On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation (English)
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24 May 2017
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Sarmanov distribution
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mixed Erlang distribution
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capital allocation
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risk aggregation
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stop-loss reinsurance
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dependency
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0.8986820578575134
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0.8840253353118896
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0.8380958437919617
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0.8310665488243103
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0.7953206896781921
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