کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076209 1477201 2017 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation
چکیده انگلیسی

Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov's multivariate distribution, in this paper we present some closed-form formulas for the same topic by considering, however, a different kernel function for Sarmanov's distribution, not previously studied in this context. The risk aggregation and capital allocation formulas are derived and numerically illustrated in the general framework of stop-loss reinsurance, and then in the particular case with no stop-loss reinsurance. A discussion of the dependency structure of the considered distribution, based on Pearson's correlation coefficient, is also presented for different kernel functions and illustrated in the bivariate case.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 74, May 2017, Pages 197-209
نویسندگان
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