Measuring the impact of dependence between claims occurrences.

DOI10.1016/S0167-6687(01)00088-9zbMath1033.62100OpenAlexW2003710084MaRDI QIDQ1413295

Sergey Utev, Claude Lefèvre, Michel M. Denuit

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00088-9

zbMATH Keywords

\(s\)-Convex probabilistic orderings and metricsDependent claim occurrencesIndividual risk modelPositive and negative association

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (12)

Precise large deviations for sums of random variables with consistently varying tails ⋮ Precise large deviations for negatively associated random variables with consistently varying tails ⋮ A new method for bounding the distance between sums of independent integer-valued random variables ⋮ A large deviation result for aggregate claims with dependent claim occurrences ⋮ Negative dependence and stochastic orderings ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ Discrete Schur-constant models ⋮ Large deviations for sums of random vectors attracted to operator semi-stable laws ⋮ An extension of Davis and Lo's contagion model ⋮ The binomial distribution with dependent Bernoulli trials ⋮ Max-factor individual risk models with application to credit portfolios

Cites Work

• Unnamed Item
• Error bounds for the compound Poisson approximation
• On a probability bound of Marshall and Olkin
• On order-preserving properties of probability metrics
• Mixed Poisson approximation in the collective epidemic model
• Decomposing catastrophic risk
• On dependence of risks and stop-loss premiums
• How to (and how not to) compute stop-loss premiums in practice
• On the dependency of risks in the individual life model
• Stop-loss order for portfolios of dependent risks
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• Does positive dependence between individual risks increase stop-loss premiums?
• On two dependent individual risk models.
• Compound Poisson approximations for individual models with dependent risks.
• A comparison theorem on moment inequalities between negatively associated and independent random variables
• Negative association of random variables, with applications
• A bound for the distribution of the sum of discrete associated or negatively associated random variables.
• Ordering claim size distributions and mixed Poisson probabilities
• The compound Poisson approximation for a portfolio of dependent risks
• The safest dependence structure among risks.
• Stochastic Orderings of Convex/Concave-Type on an Arbitrary Grid
• Approximation of sums by compound Poisson distributions with respect to stop-loss distances
• The s-convex orders among real random variables, with applications
• Families of Multivariate Distributions
• Comparing sums of exchangeable Bernoulli random variables
• Some Concepts of Dependence
• Association of Random Variables, with Applications

This page was built for publication: Measuring the impact of dependence between claims occurrences.