Simulations of full multivariate Tweedie with flexible dependence structure

DOI10.1007/s00180-015-0617-3zbMath1348.65019MaRDI QIDQ333383

Célestin C. Kokonendji, Bent Jørgensen, Johann Cuenin

Publication date: 28 October 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-015-0617-3

zbMATH Keywords

correlation; cumulant generating function; \(\alpha\)-stable distribution; multivariate exponential dispersion model

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62-08: Computational methods for problems pertaining to statistics

62H99: Multivariate analysis

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Uses Software

• R
• Tweedie
• SuppDists

Cites Work

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• INVERSE GAUSSIAN CONTROL CHARTS
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• Estimation for the bivariate Poisson distribution