Moments of discounted aggregate claims with dependence based on Spearman copula

DOI10.1016/j.cam.2020.112889zbMath1437.91400OpenAlexW3014873227MaRDI QIDQ2175836

Xiang Hu, Lianzeng Zhang, Sun, Weiwei

Publication date: 30 April 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.112889

zbMATH Keywords

dependencecompound Poisson risk processdiscounted aggregate claimsapproximation of bivariate copulasSpearman copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial mathematics (91G05)

Cites Work

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