Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076740 | Insurance: Mathematics and Economics | 2013 | 13 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hélène Cossette, Marie-Pier Côté, Etienne Marceau, Khouzeima Moutanabbir,