On the distribution of a sum of correlated aggregate claims

DOI10.1016/S0167-6687(98)00018-3zbMath0916.62072WikidataQ127860133 ScholiaQ127860133MaRDI QIDQ1276463

Rohana S. Ambagaspitiya

Publication date: 4 July 1999

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

zbMATH Keywords

compound Poisson distributionmultivariate discrete distributionsmultivariate Poisson distributioncorrelated aggregate claims

Mathematics Subject Classification ID

Related Items (18)

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ Ruin probability for correlated negative risk sums model with Erlang processes ⋮ Ruin probabilities in multivariate risk models with periodic common shock ⋮ On a correlated aggregate claims model with thinning-dependence structure ⋮ Does positive dependence between individual risks increase stop-loss premiums? ⋮ Ruin probabilities for time-correlated claims in the compound binomial model. ⋮ Laplace transform ordering of actuarial quantities. ⋮ On a correlated aggregate claims model with Poisson and Erlang risk processes. ⋮ Aggregate survival probability of a portfolio with dependent subportfolios. ⋮ Multivariate insurance models: an overview ⋮ Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios ⋮ Polynomial approximations for bivariate aggregate claims amount probability distributions ⋮ Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach ⋮ Cox risk model with correlated classes of business ⋮ A time-series risk model with constant interest for dependent classes of business ⋮ A Markov Risk Model with Two Classes of Insurance Business ⋮ The discrete-time risk model with correlated classes of business ⋮ On the distributions of two classes of correlated aggregate claims

Cites Work

• A family of discrete distributions
• On Infinitely Divisible Random Vectors
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