On the distributions of two classes of correlated aggregate claims
DOI10.1016/S0167-6687(99)00006-2zbMATH Open0945.62110MaRDI QIDQ1302134FDOQ1302134
Authors: Rohana S. Ambagaspitiya 
Publication date: 12 September 1999
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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discrete distributionsmultivariate Poisson distributioncorrelated aggregate claimsmultivariate compound distributions
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
Cited In (29)
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- Finite mixtures, projection pursuit and tensor rank: a triangulation
- Third cumulant for multivariate aggregate claim models
- Analysis of a multivariate claim process
- Ruin probability for correlated negative risk sums model with Erlang processes
- A time-series risk model with constant interest for dependent classes of business
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- Multi-type insurance claim processes with high-dimensional covariates
- Some results on ruin probabilities in a two-dimensional risk model.
- Some distributional properties of a class of counting distributions with claims analysis applications
- Ruin probabilities for time-correlated claims in the compound binomial model.
- Multivariate insurance models: an overview
- Recursive evaluation of aggregate claims distributions.
- Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
- On a correlated aggregate claims model with thinning-dependence structure
- Survival probability for a two-dimensional risk model
- Joint probability generating function for a vector of arbitrary indicator variables
- Aggregate claim estimation using bivariate hidden Markov model
- Log-concavity of the extremes from Gumbel bivariate exponential distributions
- Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications
- A priori ratemaking using bivariate Poisson regression models
- Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
- Recursions and fast Fourier transforms for a new bivariate aggregate claims model
- Aggregate survival probability of a portfolio with dependent subportfolios.
- On the distributions of two classes of multiple dependent aggregate claims
- Optimal dividend payments for a two-dimensional insurance risk process
- Polynomial approximations for bivariate aggregate claims amount probability distributions
- Multinomial model for random sums
- Ruin probabilities in multivariate risk models with periodic common shock
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