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

DOI10.1016/J.INSMATHECO.2015.05.007zbMATH Open1348.91137OpenAlexW879901372MaRDI QIDQ495473FDOQ495473

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Coherent measures of risk
• A Primer on Copulas for Count Data
• A Multivariate Gamma-Type Distribution
• An introduction to copulas.
• Properties and applications of the sarmanov family of bivariate distributions
• Risk capital decomposition for a multivariate dependent gamma portfolio
• Tail Conditional Expectations for Elliptical Distributions
• Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb.
• Copula modeling: An introduction for practitioners
• Correlation and dependence
• The Time Value of Ruin in a Sparre Andersen Model
• Continuous Bivariate Distributions
• TVaR-based capital allocation with copulas
• Some results on the CTE-based capital allocation rule
• Multivariate exponential and geometric distributions with limited memory
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• Modeling dependent risks with multivariate Erlang mixtures
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS
• Fitting combinations of exponentials to probability distributions
• Compound Poisson approximations for individual models with dependent risks.
• Testing for correlation between non-negative variates
• On two dependent individual risk models.
• On the discrete-time compound renewal risk model with dependence
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Estimation of parametric functions in Downton's bivariate exponential distribution
• Capital allocation based on the tail covariance premium adjusted
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• Multivariate Matrix-Exponential Distributions
• On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Rational ruin problems - a note for the teacher

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
• MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION
• Risk aggregation with FGM copulas
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation

Uses Software

• Excel

This page was built for publication: On two families of bivariate distributions with exponential marginals: aggregation and capital allocation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q495473)