On two families of bivariate distributions with exponential marginals: aggregation and capital allocation

DOI10.1016/J.INSMATHECO.2015.05.007MaRDI QIDQ495473zbMATH OpenOpenAlexFDO

Authors Samuel Perreault, Hélène Cossette, É. Marceau

Publication date 14 September 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.05.007

zbMATH Keywords

aggregationbivariate combination of exponential distributions with exponential marginalsbivariate distributions with exponential marginalsbivariate mixed Erlang distributions with exponential marginalsBladt-Nielsen's bivariate exponential distributionFarlie-Gumbel-Morgenstern copulaMoran-Downton's bivariate exponential distributionTVaR-based allocation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) 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

(9)

• AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
• COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
• Risk models based on copulas for premiums and claim sizes
• Collective risk models with dependence
• A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Risk aggregation with FGM copulas
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• Multivariate distributions with time and cross-dependence: aggregation and capital allocation

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