کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076740 | 1374099 | 2013 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation](/preview/png/5076740.png)
چکیده انگلیسی
In this paper, we investigate risk aggregation and capital allocation problems for a portfolio of possibly dependent risks whose multivariate distribution is defined with the Farlie-Gumbel-Morgenstern copula and mixed Erlang distribution marginals. In such a context, we first show that the aggregate claim amount has a mixed Erlang distribution. Based on a top-down approach, closed-form expressions for the contribution of each risk are derived using the TVaR and covariance rules. These findings are illustrated with numerical examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 52, Issue 3, May 2013, Pages 560-572
Journal: Insurance: Mathematics and Economics - Volume 52, Issue 3, May 2013, Pages 560-572
نویسندگان
Hélène Cossette, Marie-Pier Côté, Etienne Marceau, Khouzeima Moutanabbir,