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The compound Poisson approximation for a portfolio of dependent risks


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  • Goovaerts, M. J.
  • Dhaene, J.


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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 18 (1996)
Issue (Month): 1 (May)
Pages: 81-85

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Handle: RePEc:eee:insuma:v:18:y:1996:i:1:p:81-85

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  1. Kaas, R. & Gerber, H. U., 1994. "Some alternatives for the individual model," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 127-132, December.
  2. Gerber, Hans U., 1984. "Error bounds for the compound poisson approximation," Insurance: Mathematics and Economics, Elsevier, vol. 3(3), pages 191-194, July.
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Cited by:
  1. Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.
  2. Genest, Christian & Marceau, Etienne & Mesfioui, Mhamed, 2003. "Compound Poisson approximations for individual models with dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 73-91, February.
  3. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
  4. Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
  5. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100,, revised Feb 2011.
  6. Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
  7. Denuit, Michel & Lefevre, Claude & Utev, Sergey, 2002. "Measuring the impact of dependence between claims occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 1-19, February.
  8. Carriere, Jacques F., 1997. "Testing independence in bivariate distributions of claim frequencies and severities," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 81-89, October.


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