Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
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Publication:2443236
DOI10.1016/j.insmatheco.2013.03.006zbMath1284.60027MaRDI QIDQ2443236
Khouzeima Moutanabbir, Marie-Pier Côté, Hélène Cossette, Étienne Marceau
Publication date: 4 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.006
risk measures; capital allocation; mixed Erlang distribution; FGM copula; tail-value-at-risk; aggregate claim loss; covariance-based allocation rule; TVaR-based allocation rule
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62E15: Exact distribution theory in statistics
60E05: Probability distributions: general theory
91G10: Portfolio theory
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