Multivariate insurance models: an overview
From MaRDI portal
Publication:2444726
DOI10.1016/j.insmatheco.2011.01.013zbMath1284.91197MaRDI QIDQ2444726
Simon Anastasiadis, Stefanka S. Chukova
Publication date: 10 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.013
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
Related Items
Third cumulant for multivariate aggregate claim models, Pólya–Aeppli of OrderkRisk Model, A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution, A generalization of Archimedean and Marshall-Olkin copulas family, Lack-of-partial-memory and aging properties of multivariate generalized Marshall-Olkin distributions, Ruin probability for merged risk processes with correlated arrivals, Exchangeable exogenous shock models, Empirical investigation of insurance claim dependencies using mixture models, Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance, Shot-noise driven multivariate default models, Capacity management under uncertainty with inter-process, intra-process and demand interdependencies in high-flexibility environments, Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory, Livestock mortality catastrophe insurance using fatal shock process, Max-factor individual risk models with application to credit portfolios
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Maximum likelihood estimation of Hawkes' self-exciting point processes
- On a correlated aggregate claims model with thinning-dependence structure
- Random sums of exchangeable variables and actuarial applications
- On a risk model with dependence between claim sizes and claim intervals
- Compound bivariate Lagrangian Poisson distributions
- On the distribution of a sum of correlated aggregate claims
- On the distributions of two classes of correlated aggregate claims
- On dependence of risks and stop-loss premiums
- On the dependency of risks in the individual life model
- Stop-loss order for portfolios of dependent risks
- A comparison between homogeneous and heterogeneous portfolios.
- Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
- On two dependent individual risk models.
- A discrete-time risk model with interaction between classes of business.
- On a correlated aggregate claims model with Poisson and Erlang risk processes.
- Compound Poisson approximations for individual models with dependent risks.
- On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
- The discrete-time risk model with correlated classes of business
- Reconstruction of multidimensional distribution with Poisson components
- The safest dependence structure among risks.
- Multivariate risk model of phase type
- On the ruin functions for a correlated aggregate claims model with Poisson and Erlang risk processes
- Modeling and Comparing Dependencies in Multivariate Risk Portfolios
- Multivariate risk processes with interacting intensities
- A Multivariate Generalization of the Generalized Poisson Distribution
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- BAYESIAN ANALYSIS FOR THE SUPERPOSITION OF TWO DEPENDENT NONHOMOGENEOUS POISSON PROCESSES
- On Bivariate Cumulative Damage Models With Application
- Hierarchical Insurance Claims Modeling
- Modeling and Generating Dependent Risk Processes for IRM and DFA
- Multivariate Counting Processes: Copulas and Beyond
- Spectra of some self-exciting and mutually exciting point processes
- Inequalities: theory of majorization and its applications