On the distributions of two classes of correlated aggregate claims

DOI10.1016/S0167-6687(99)00006-2MaRDI QIDQ1302134zbMATH OpenFDO

Authors Rohana S. Ambagaspitiya

Publication date 12 September 1999

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

zbMATH Keywords

discrete distributionsmultivariate Poisson distributioncorrelated aggregate claimsmultivariate compound distributions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3090535 (Why is no real title available?)
• A family of discrete distributions
• Compound bivariate Lagrangian Poisson distributions
• On the distribution of a sum of correlated aggregate claims

Cited in

(29)

• Finite mixtures, projection pursuit and tensor rank: a triangulation
• De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
• 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.
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Some distributional properties of a class of counting distributions with claims analysis applications
• Multivariate insurance models: an overview
• Recursive evaluation of aggregate claims distributions.
• On a correlated aggregate claims model with thinning-dependence structure
• Survival probability for a two-dimensional risk model
• Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
• Joint probability generating function for a vector of arbitrary indicator variables
• Log-concavity of the extremes from Gumbel bivariate exponential distributions
• Aggregate claim estimation using bivariate hidden Markov model
• A priori ratemaking using bivariate Poisson regression models
• Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications
• Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
• Aggregate survival probability of a portfolio with dependent subportfolios.
• Recursions and fast Fourier transforms for a new bivariate aggregate claims model
• 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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