A multivariate aggregate loss model
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Publication:2445352
DOI10.1016/j.insmatheco.2012.06.009zbMath1284.91267OpenAlexW2041514046MaRDI QIDQ2445352
Publication date: 14 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.06.009
dependenceMarkovian arrival processesmultivariate aggregate lossespresent values of aggregate losses
Related Items (7)
Third cumulant for multivariate aggregate claim models ⋮ Transform approach for discounted aggregate claims in a risk model with descendant claims ⋮ Simple risk measure calculations for sums of positive random variables ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ A Risk Model Based on Markov Chains with Marked Transitions
Cites Work
- On the discounted penalty function in a Markov-dependent risk model
- Moments of claims in a Markovian environment
- Classical risk theory in an economic environment
- Markov chains with marked transitions
- Dependent Multi-Peril Ratemaking Models
- Covariate Adjustment of Event Histories Estimated from Markov Chains: The Additive Approach
- Probability of ruin for a risk process with claims cost inflation
- Applied Probability and Queues
- The total claims distribution under inflationary conditions
- Hierarchical Insurance Claims Modeling
- A Regime-Switching Model of Long-Term Stock Returns
- Moments of compound renewal sums with discounted claims
- Dependence measures for extreme value analyses
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