On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation

DOI10.1016/J.INSMATHECO.2017.03.009MaRDI QIDQ2397867zbMATH OpenOpenAlexFDO

Authors Gildas Ratovomirija, Maissa Tamraz, Raluca Vernic

Publication date 24 May 2017

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

Full work available at URL https://arxiv.org/abs/1611.08464

zbMATH Keywords

capital allocationmixed Erlang distributionrisk aggregationSarmanov distributiondependencystop-loss reinsurance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov's multivariate distribution, in this paper we present some closed-form formulas for the same topic by considering, however, a different kernel function for Sarmanov's distribution, not previously studied in this context. The risk aggregation and capital allocation formulas are derived and numerically illustrated in the general framework of stop-loss reinsurance, and then in the particular case with no stop-loss reinsurance. A discussion of the dependency structure of the considered distribution, based on Pearson's correlation coefficient, is also presented for different kernel functions and illustrated in the bivariate case.

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Cited in

(16)

• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• On some properties of a class of multivariate Erlang mixtures with insurance applications
• Conditional tail risk measures for the skewed generalised hyperbolic family
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018)
• Modeling dependent risks with multivariate Erlang mixtures
• On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
• Weighted allocations, their concomitant-based estimators, and asymptotics
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
• Multivariate distributions with time and cross-dependence: aggregation and capital allocation
• Capital allocation for Sarmanov's class of distributions
• Two-part models for assessing misrepresentation on risk status
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation

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