On the moments and distribution approximations of stochastic aggregate claims with dependence

DOI10.3969/J.ISSN.1008-5513.2015.03.005MaRDI QIDQ3461087zbMATH OpenFDO

Authors Jiesong Zhang, Qingxian Xiao

Publication date 15 January 2016

Full work available at URL https://doi.org/10.3969/J.ISSN.1008-5513.2015.03.005

zbMATH Keywords

autoregressivedependent risksdistribution approximationmoments

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(8)

• The order-statistic claim process with dependent claim frequencies and severities
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
• On the moments of aggregate discounted claims with dependence introduced by a FGM copula
• Moment-based density approximations for aggregate losses
• Third cumulant for multivariate aggregate claim models
• Asymptotic Dependence of Reinsurance Aggregate Claim Amounts
• scientific article; zbMATH DE number 6961560 (Why is no real title available?)
• Dividend optimization problem in the moving average risk model

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