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

DOI10.1016/J.INSMATHECO.2017.03.009zbMATH Open1394.62145arXiv1611.08464OpenAlexW2558098023MaRDI QIDQ2397867FDOQ2397867

Authors: Gildas Ratovomirija, Maissa Tamraz, Raluca Vernic 

Publication date: 24 May 2017

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

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.

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

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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)

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Cited In (16)

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

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