Modeling and Generating Dependent Risk Processes for IRM and DFA

DOI10.2143/AST.34.2.505147MaRDI QIDQ5490569zbMATH OpenOpenAlexFDO

Authors Dietmar Pfeifer, Johanna Nešlehová

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.34.2.505147

Mathematics Subject Classification ID

Recommendations

• On two dependent individual risk models.
• Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
• Collective risk models with dependence
• scientific article; zbMATH DE number 7529514
• Multiple risk factor dependence structures: distributional properties

Cites work

• ASPECTS OF CORRELATION IN BIVARIATE POISSON DISTRIBUTIONS AND PROCESSES
• BAYESIAN ANALYSIS FOR THE SUPERPOSITION OF TWO DEPENDENT NONHOMOGENEOUS POISSON PROCESSES
• Discrete bivariate distributions with given marginals and correlation
• scientific article; zbMATH DE number 227027 (Why is no real title available?)
• Inequalities for E k(X, Y) when the marginals are fixed
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• On a bivariate poisson distribution
• Properties and applications of the sarmanov family of bivariate distributions
• Risk management: Value at risk and beyond
• The Poisson Correlation Function

Cited in

(19)

• Modeling, simulation and inference for multivariate time series of counts using trawl processes
• A new bivariate Poisson common shock model covering all possible degrees of dependence
• Fisher dispersion index for multivariate count distributions: a review and a new proposal
• Analysis of an aggregate loss model in a Markov renewal regime
• Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
• Multivariate insurance models: an overview
• An invitation to coupling and copulas: with applications to multisensory modeling
• Multivariate risk processes with interacting intensities
• A form of multivariate Pareto distribution with applications to financial risk measurement
• A multivariate Poisson model based on comonotonic shocks
• Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
• A bivariate geometric distribution via conditional specification: properties and applications
• Dependence properties of bivariate copula families
• On a multivariate Pareto distribution
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• A multivariate Poisson model based on a triangular comonotonic shock construction
• Comonotonicity and counter-monotonicity: Review and implications for likelihood-based estimation
• Copula modeling for discrete random vectors
• Finite normal mixture copulas for multivariate discrete data modeling

This page was built for publication: Modeling and Generating Dependent Risk Processes for IRM and DFA

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5490569)