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

DOI10.1016/j.insmatheco.2015.05.007zbMath1348.91137OpenAlexW879901372MaRDI QIDQ495473

Samuel Perreault, Hélène Cossette, Étienne 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

Related Items (8)

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 ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Collective risk models with dependence ⋮ Risk aggregation with FGM copulas ⋮ A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION

Uses Software

• Excel

Cites Work

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