On the distribution of a sum of Sarmanov distributed random variables
From MaRDI portal
Publication:270203
DOI10.1007/s10959-014-0571-yzbMath1336.60024OpenAlexW2113815628MaRDI QIDQ270203
Publication date: 7 April 2016
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-014-0571-y
exponential distributioncapital allocationSarmanov multivariate distributionsum of dependent random variables
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (6)
COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution ⋮ Capital allocation for Sarmanov's class of distributions ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
Cites Work
- Unnamed Item
- Unnamed Item
- A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
- Asymptotics for risk capital allocations based on conditional tail expectation
- The net Bayes premium with dependence between the risk profiles
- TVaR-based capital allocation with copulas
- Some results on the CTE-based capital allocation rule
- On Maximum Attainable Correlation and Other Measures of Dependence for the Sarmanov Family of Bivariate Distributions
- Probability distributions with given multivariate marginals
- Properties and applications of the sarmanov family of bivariate distributions
- Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study
This page was built for publication: On the distribution of a sum of Sarmanov distributed random variables
