Multinomial model for random sums

DOI10.1016/J.INSMATHECO.2005.05.005MaRDI QIDQ817284zbMATH OpenOpenAlexFDO

Authors Nikolai Kolev, Delhi Paiva

Publication date 8 March 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.05.005

zbMATH Keywords

clustermaximum likelihoodsimulationmultinomial distributionrandom sumscorrelation coefficient

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3896009 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3185395 (Why is no real title available?)
• A family of partially correlated Poisson models for overdispersion
• Correlated INAR(1) process
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• On the distributions of two classes of correlated aggregate claims
• On two dependent individual risk models.
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(10)

• Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications
• Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings
• Multivariate compounds with equal number of summands
• Corrigendum to: ``A class of correlated weighted Poisson processes
• Variability of total claim amounts under dependence between claims severity and number of events
• Random sums of exchangeable variables and actuarial applications
• Multinomial Distribution and Ascertainment Models
• Model risk in credit risk
• Modeling sums of exchangeable binary variables
• Sums of dependent Bernoulli random variables and disease clustering

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Uses Software

• Ox

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