On the Class of Erlang Mixtures with Risk Theoretic Applications

From MaRDI portal
Publication:5019730

DOI10.1080/10920277.2007.10597450zbMath1480.91253OpenAlexW2094912675MaRDI QIDQ5019730

Gordon E. Willmot, Jae-Kyung Woo

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597450




Related Items (52)

Finite-time ruin probabilities using bivariate Laguerre seriesOn mixed Erlang reinsurance risk: aggregation, capital allocation and default riskInhomogeneous phase-type distributions and heavy tailsRemarks on a generalized inverse Gaussian type integral with applicationsRuin probability for finite Erlang mixture claims via recurrence sequencesON A MULTIVARIATE GENERALIZED POLYA PROCESS WITHOUT REGULARITY PROPERTYON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONSON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONSRECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMSFITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHMRisk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) processMultivariate mixtures of Erlangs for density estimation under censoringOn the analysis of a discrete-time risk model with INAR(1) processesFirst passage time for compound Poisson processes with diffusion: ruin theoretical and financial applicationsAnalysis of IBNR claims in renewal insurance modelsA bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk processRisk model based on the first-order integer-valued moving average process with compound Poisson distributed innovationsModelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributionsSome properties of the failure rate function for mixtures of Erlang distributionsOn the number of claims until ruin in a two-barrier renewal risk model with Erlang mixturesCollective risk models with dependenceOn the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk modelA note on order statistics in the mixed Erlang caseA Simple and Complete Solution to the Stationary Queue-Length Probabilities of a Bulk-Arrival Bulk-Service QueueRecursive methods for a multi-dimensional risk process with common shocksTVaR-based capital allocation for multivariate compound distributions with positive continuous claim amountsRuin probabilities as functions of the roots of a polynomialRisk aggregation with FGM copulasStochastic comparisons of mixtures of parametric families in stochastic epidemicsApproximation of the ultimate ruin probability in the classical risk model using Erlang mixturesOn the analysis of a general class of dependent risk processesAn adaptive premium policy with a Bayesian motivation in the classical risk modelAnalysis of the discounted sum of ascending ladder heightsApproximations of the ruin probability in a discrete time risk modelJoint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptionsRisk aggregation based on the Poisson INAR(1) process with periodic structureFinite time ruin problems for the Erlang\((2)\) risk modelSurplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amountsAn insurance risk model with stochastic volatilityExplicit results on conditional distributions of generalized exponential mixturesOn the ruin time distribution for a Sparre Andersen process with exponential claim sizesAn insurance risk model with Parisian implementation delaysExit times, overshoot and undershoot for a surplus process in the presence of an upper barrierOn the distribution of classic and some exotic ruin timesThe expected discounted penalty function: from infinite time to finite timeA gamma kernel density estimation for insurance loss dataSeverity modeling of extreme insurance claims for tarifficationRisk models based on time series for count random variablesMultivariate Cox Hidden Markov models with an application to operational riskOrthogonal polynomial expansions to evaluate stop-loss premiumsOn the evaluation of risk models with bivariate integer-valued time seriesOn the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model




Cites Work




This page was built for publication: On the Class of Erlang Mixtures with Risk Theoretic Applications