A multivariate aggregate loss model

DOI10.1016/J.INSMATHECO.2012.06.009MaRDI QIDQ2445352zbMATH OpenOpenAlexFDO

Authors Jiandong Ren

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

zbMATH Keywords

dependenceMarkovian arrival processesmultivariate aggregate lossespresent values of aggregate losses

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites work

• A Regime-Switching Model of Long-Term Stock Returns
• Applied Probability and Queues
• Classical risk theory in an economic environment
• Covariate adjustment of event histories estimated from Markov chains: the additive approach
• Dependence measures for extreme value analyses
• Dependent Multi-Peril Ratemaking Models
• Hierarchical insurance claims modeling
• Markov chains with marked transitions
• Moments of claims in a Markovian environment
• Moments of compound renewal sums with discounted claims
• On the discounted penalty function in a Markov-dependent risk model
• Probability of ruin for a risk process with claims cost inflation
• The total claims distribution under inflationary conditions

Cited in

(11)

• Third cumulant for multivariate aggregate claim models
• Multivariate Cox hidden Markov models with an application to operational risk
• Transform approach for discounted aggregate claims in a risk model with descendant claims
• A risk model based on Markov chains with marked transitions
• CMPH: a multivariate phase-type aggregate loss distribution
• Multivariate Credibility for Aggregate Loss Models
• Analysis of an aggregate loss model in a Markov renewal regime
• On the evaluation of risk models with bivariate integer-valued time series
• Aggregate claim estimation using bivariate hidden Markov model
• EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
• Simple risk measure calculations for sums of positive random variables

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