Keywords: Finite time ruin probability; Deficit at ruin; Time of ruin; Lagrange's implicit function theorem; Lundberg's fundamental equation; Mixed Erlang distribution;
مقالات ISI (ترجمه نشده)
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On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation
Keywords: Sarmanov distribution; Mixed Erlang distribution; Capital allocation; Risk aggregation; Stop-loss reinsurance; Dependency;
On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures
Keywords: primary, 60G40; secondary, 62P05, 91B30Renewal risk model; Two-sided first exit time; Number of claims to ruin; Exponentially tilted probability measure; Mixed Erlang distribution
Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation
Keywords: Aggregate claim loss; Risk measures; Capital allocation; Tail-Value-at-Risk; FGM copula; TVaR-based allocation rule; Covariance-based allocation rule; Mixed Erlang distribution;
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
Keywords: Capital allocation; Tail value at risk; Dependence models; Multivariate compound distributions; Multivariate compound Poisson distributions; Mixed Erlang distribution;
Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
Keywords: Time of ruin; Number of claims until ruin; Surplus prior to ruin; Lagrange's expansion theorem; Defective renewal equation; Compound geometric tail; Exponential distribution; Mixed Erlang distribution;
On the discounted penalty function in the renewal risk model with general interclaim times
Keywords: Sparre Andersen process; Deficit at ruin; Surplus at ruin; Time of ruin; Defective renewal equation; Gerber-Shiu function; Residual lifetime distribution; Compound geometric; Higher-order equilibrium distribution; Mixed Erlang distribution; Exponential