Modeling dependent risks with multivariate Erlang mixtures

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (39)

Delta Boosting Machine with Application to General Insurance
Fitting multivariate Erlang mixtures to data: a roughness penalty approach
Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm
Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks
A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited
Signs of dependence and heavy tails in non-life insurance data
A class of mixture of experts models for general insurance: theoretical developments
Bayesian credibility under a bivariate prior on the frequency and the severity of claims
ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS
ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
Fitting the Erlang mixture model to data via a GEM-CMM algorithm
On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation
Modeling dependence based on mixture copulas and its application in risk management
CMPH: a multivariate phase-type aggregate loss distribution
Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
“On the Class of Erlang Mixtures with Risk Theoretic Applications,” Gordon E. Willmot and Jae-Kyung Woo, April 2007
Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by David C. M. Dickson; Howard R. Waters
Collective risk models with dependence
Bivariate lower and upper orthant value-at-risk
Multivariate mixtures of Erlangs for density estimation under censoring
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM
On the analysis of a general class of dependent risk processes
On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
Aggregating Risks with Partial Dependence Information
A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES
Estimation of multivariate generalized gamma convolutions through Laguerre expansions
Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
On a Dirichlet process mixture representation of phase-type distributions
On the analysis of a discrete-time risk model with INAR(1) processes
EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION

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