A multivariate aggregate loss model

DOI10.1016/J.INSMATHECO.2012.06.009zbMATH Open1284.91267OpenAlexW2041514046MaRDI QIDQ2445352FDOQ2445352

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

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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)

Cites Work

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

Cited In (11)

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

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