On some properties of a class of multivariate Erlang mixtures with insurance applications
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Publication:4563733
DOI10.1017/ASB.2014.23zbMATH Open1390.62092OpenAlexW2034715041MaRDI QIDQ4563733FDOQ4563733
Authors: Gordon E. Willmot, Jae-Kyung Woo 
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/211945
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risk measurescapital allocationscale mixturesresidual lifetime distributionstop-loss momentsgeneralized Esscher transformationjoint and last survivormultivariate mixed Erlang
Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (31)
- Fitting multivariate Erlang mixtures to data: a roughness penalty approach
- Multivariate Cox hidden Markov models with an application to operational risk
- On the distribution of classic and some exotic ruin times
- Bayesian credibility under a bivariate prior on the frequency and the severity of claims
- 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
- On the evaluation of multivariate compound distributions with continuous severity distributions and Sarmanov's counting distribution
- Universally marketable insurance under multivariate mixtures
- Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
- 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
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- Conditional tail risk measures for the skewed generalised hyperbolic family
- Modeling dependent risks with multivariate Erlang mixtures
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