On bivariate compound sums

DOI10.1016/J.CAM.2019.112371MaRDI QIDQ2332682zbMATH OpenOpenAlexWikidataFDO

Authors Fatih Tank, Serkan Eryilmaz

Publication date 5 November 2019

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.2019.112371

zbMATH Keywords

bivariate distributioncompound sumphase type distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• A compound negative binomial distribution with mutative termination conditions based on a change point
• A lifetime model with increasing failure rate
• A ruin model with dependence between claim sizes and claim intervals
• A simple compound scan statistic useful for modeling insurance and risk management problems
• Compound geometric distribution of order \(k\)
• Compound Markov negative binomial distribution
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
• scientific article; zbMATH DE number 997340 (Why is no real title available?)
• Modeling systems with two dependent components under bivariate shock models
• On compound sums under dependence
• Prediction of components in random sums
• Random sums of exchangeable variables and actuarial applications
• Randomly stopped sums of not identically distributed heavy tailed random variables
• Recursions for compound phase distributions
• Recursive formulas for compound phase distributions -- univariate and bivariate cases
• Some new results about the variance inactivity time ordering with applications
• Stochastic comparisons for multivariate shock models

Cited in

(5)

• Bivariate Bernoulli weighted sums and distribution of single-period tontine benefits
• Multivariate compounds with equal number of summands
• On compound sums under dependence
• On recursions for moments of a compound random variable: an approach using an auxiliary counting random variable
• Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums

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