Risk aggregation in multivariate dependent Pareto distributions

DOI10.1016/j.insmatheco.2016.07.009zbMath1371.91107arXiv1506.00559OpenAlexW2963285401MaRDI QIDQ2374106

Faustino Prieto, José María Sarabia, Vanesa Jordá, Emilio Gómez-Déniz

Publication date: 14 December 2016

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

Full work available at URL: https://arxiv.org/abs/1506.00559

zbMATH Keywords

hypergeometric functionscollective risk modelindividual risk modeldependent risksclassical Pareto distribution

Mathematics Subject Classification ID

Related Items (13)

A bivariate distribution with Lomax and geometric margins ⋮ COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Risk aggregation and capital allocation using a new generalized Archimedean copula ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Objective Bayesian inference for the reliability in a bivariate Lomax distribution ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS ⋮ Compound sum distributions with dependence ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a multivariate Pareto distribution
• Multivariate distributions with generalized Pareto conditionals
• Compound binomial risk model in a Markovian environment
• Multivariate flexible Pareto model: dependency structure, properties and characterizations
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• Compound Poisson approximations for individual models with dependent risks.
• Bivariate distributions with Pareto conditionals
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• Simple risk measure calculations for sums of positive random variables
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Joint modelling of the total amount and the number of claims by conditionals
• The distribution of compound sums of Pareto distributed losses
• On a risk model with dependence between interclaim arrivals and claim sizes
• Unconditional distributions obtained from conditional specification models with applications in risk theory
• The Distribution of Sums of Certain I.I.D. Pareto Variates
• Generalized Linear Models for Insurance Data
• Association of Random Variables, with Applications
• Loss Models

This page was built for publication: Risk aggregation in multivariate dependent Pareto distributions