On the distributions of two classes of multiple dependent aggregate claims

DOI10.1007/S10255-006-6178-ZMaRDI QIDQ951757zbMATH OpenOpenAlexFDO

Authors Kam Chuen Yuen, Rongming Wang, Li-Xing Zhu

Publication date 27 October 2008

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-006-6178-z

zbMATH Keywords

absolutely continuousaggregate claim distributioncollective risk modelcompound distributionrecursive algorithm

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Difference equation approaches in evaluation of compound distributions
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• scientific article; zbMATH DE number 591097 (Why is no real title available?)
• On Mixed and Compound Mixed Poisson Distributions
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Cited in

(13)

• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian
• On the distribution of a sum of correlated aggregate claims
• On the distributions of two classes of correlated aggregate claims
• Recursive evaluation of aggregate claims distributions.
• On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
• Joint probability generating function for a vector of arbitrary indicator variables
• Analysis of a multivariate claim process
• On the moments and distribution approximations of stochastic aggregate claims with dependence
• On recursive formulas for aggregate claims
• On the evaluation of multivariate compound distributions with continuous severity distributions and Sarmanov's counting distribution
• Third cumulant for multivariate aggregate claim models
• Further results of recursive evaluation for compound distribution with the severity distribution of mixed type
• Multinomial model for random sums

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