Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (Q2443236)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation |
scientific article |
Statements
Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (English)
0 references
4 April 2014
0 references
aggregate claim loss
0 references
risk measures
0 references
capital allocation
0 references
tail-value-at-risk
0 references
FGM copula
0 references
TVaR-based allocation rule
0 references
covariance-based allocation rule
0 references
mixed Erlang distribution
0 references
0 references
0 references
0 references
