ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION

DOI10.1017/asb.2017.46zbMath1390.62096OpenAlexW2789965766MaRDI QIDQ4562957

Maissa Tamraz, Raluca Vernic

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2017.46

zbMATH Keywords

hypergeometric functionErlang distributionmultivariate compound modelSarmanov's multivariate discrete distributiontype-II Pareto multivariate distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims

Cites Work

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• Recursions and fast Fourier transforms for a new bivariate aggregate claims model