On some properties of a class of multivariate Erlang mixtures with insurance applications
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- scientific article; zbMATH DE number 1484400 (Why is no real title available?)
- scientific article; zbMATH DE number 2188756 (Why is no real title available?)
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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
- On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
- A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
- 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
- Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
- Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
- “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
- Multivariate mixtures of Erlangs for density estimation under censoring
- A note on order statistics in the mixed Erlang case
- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- A marked Cox model for the number of IBNR claims: theory
- 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
- On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
- On the class of Erlang mixtures with risk theoretic applications
- Risk aggregation with FGM copulas
- On a multivariate generalized Polya process without regularity property
- A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Modeling dependent risks with multivariate Erlang mixtures
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