On some properties of a class of multivariate Erlang mixtures with insurance applications
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Cites work
- A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
- A New Class of Multivariate Phase Type Distributions
- Coherent measures of risk
- Conditional tail expectations for multivariate phase-type distributions
- Decision principles derived from risk measures
- Decision theoretic foundations of credibility theory
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- Equilibrium compound distributions and stop-loss moments
- Failure rate of the minimum and maximum of a multivariate normal distribution
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- scientific article; zbMATH DE number 2188756 (Why is no real title available?)
- Limiting tail behaviour of some discrete compound distributions
- Modeling dependent risks with multivariate Erlang mixtures
- Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Multivariate Phase-Type Distributions
- Multivariate risk model of phase type
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- On a multivariate gamma
- On a multivariate Pareto distribution
- On the class of Erlang mixtures with risk theoretic applications
- On the discounted penalty function in the renewal risk model with general interclaim times
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Some results on the CTE-based capital allocation rule
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- TVaR-based capital allocation with copulas
- Weighted premium calculation principles
Cited in
(33)- Fitting the Erlang mixture model to data via a GEM-CMM algorithm
- On the distribution of classic and some exotic ruin times
- Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Fitting multivariate Erlang mixtures to data: a roughness penalty approach
- Bayesian credibility under a bivariate prior on the frequency and the severity of claims
- On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation
- Multivariate mixtures of Erlangs for density estimation under censoring
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Collective risk models with dependence
- On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- Modeling dependent risks with multivariate Erlang mixtures
- On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
- A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
- A marked Cox model for the number of IBNR claims: theory
- On the evaluation of multivariate compound distributions with continuous severity distributions and Sarmanov's counting distribution
- ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
- Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
- On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
- On the class of Erlang mixtures with risk theoretic applications
- Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by David C. M. Dickson; Howard R. Waters
- “On the Class of Erlang Mixtures with Risk Theoretic Applications,” Gordon E. Willmot and Jae-Kyung Woo, April 2007
- On a multivariate generalized Polya process without regularity property
- Universally marketable insurance under multivariate mixtures
- Multivariate Cox hidden Markov models with an application to operational risk
- Risk aggregation with FGM copulas
- A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
- Modeling discrete common-shock risks through matrix distributions
- Designing and valuing new equity-linked insurance products for couples
- A note on order statistics in the mixed Erlang case
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