کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7354864 | 1477197 | 2018 | 46 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, we investigate dependent risk models in which the dependence structure is defined by an Archimedean copula. Using such a structure with specific marginals, we derive explicit expressions for the pdf of the aggregated risk and other related quantities. The common mixture representation of Archimedean copulas is at the basis of a computational strategy proposed to find exact or approximated values of the distribution of the sum of risks in a general setup. Such results are then used to investigate risk models in regard to aggregation, capital allocation and ruin problems. An extension to nested Archimedean copulas is also discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 78, January 2018, Pages 53-71
Journal: Insurance: Mathematics and Economics - Volume 78, January 2018, Pages 53-71
نویسندگان
Hélène Cossette, Etienne Marceau, Itre Mtalai, Déry Veilleux,