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On two dependent individual risk models

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  • Cossette, Helene
  • Gaillardetz, Patrice
  • Marceau, Etienne
  • Rioux, Jacques

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  • 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.
    • Handle: RePEc:eee:insuma:v:30:y:2002:i:2:p:153-166
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    References listed on IDEAS

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    1. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order1," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 201-212, November.
    2. Dhaene, Jan & Vandebroek, Martina, 1995. "Recursions for the individual model," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 31-38, April.
    3. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    4. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
    5. Waldmann, Karl-Heinz, 1994. "On the Exact Calculation of the Aggregate Claims Distribution in the Individual Life Model," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 89-96, May.
    6. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    7. Denuit, M. & Genest, C. & Marceau, E., 1999. "Stochastic bounds on sums of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 85-104, September.
    8. De Pril, Nelson, 1986. "On the Exact Computation of the Aggregate Claims Distribution in the Individual Life Model," ASTIN Bulletin, Cambridge University Press, vol. 16(2), pages 109-112, November.
    9. Goovaerts, M. J. & Dhaene, J., 1996. "The compound Poisson approximation for a portfolio of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 81-85, May.
    10. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    11. De Pril, Nelson, 1989. "The Aggregate Claims Distribution in the Individual Model with Arbitrary Positive Claims," ASTIN Bulletin, Cambridge University Press, vol. 19(1), pages 9-24, April.
    12. Dhaene, Jan & Pril, Nelson De, 1994. "On a class of approximative computation methods in the individual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 181-196, May.
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    Cited by:

    1. Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
    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. Bolancé, Catalina & Bahraoui, Zuhair & Artís, Manuel, 2014. "Quantifying the risk using copulae with nonparametric marginals," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 46-56.
    4. Kemaloglu, Sibel Acik & Shapiro, Arnold F. & Tank, Fatih & Apaydin, Aysen, 2018. "Using fuzzy logic to interpret dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 101-106.
    5. Michel Denuit & Anna Kiriliouk & Johan Segers, 2014. "Max-factor individual risk models with application to credit portfolios," Papers 1412.3230, arXiv.org.
    6. Cossette, Hélène & Marceau, Etienne & Perreault, Samuel, 2015. "On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 214-224.
    7. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    8. Stanisław Heilpern, 2007. "Dependent binomial distribution and its application in reinsurance and credits," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 17(1), pages 45-61.
    9. Tank, Fatih & Gebizlioglu, Omer L. & Apaydin, Aysen, 2006. "Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 189-194, February.
    10. Katsuichiro Goda & Jiandong Ren, 2010. "Assessment of Seismic Loss Dependence Using Copula," Risk Analysis, John Wiley & Sons, vol. 30(7), pages 1076-1091, July.
    11. Denuit, Michel & Kiriliouk, Anna & Segers, Johan, 2014. "Max-Factor individual risk models with application to credit portfolios," LIDAM Discussion Papers ISBA 2014048, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Denuit, Michel & Kiriliouk, Anna & Segers, Johan, 2015. "Max-factor individual risk models with application to credit portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 162-172.
    13. Kolev, Nikolai & Paiva, Delhi, 2005. "Multinomial model for random sums," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 494-504, December.
    14. Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
    15. Li, Chen & Li, Xiaohu, 2019. "Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 84-91.
    16. Marceau, Etienne, 2009. "On the discrete-time compound renewal risk model with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 245-259, April.
    17. repec:hal:journl:hal-00536925 is not listed on IDEAS
    18. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    19. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    20. Liu, Yan, 2007. "Precise large deviations for negatively associated random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 181-189, January.
    21. Eling, Martin & Wirfs, Jan Hendrik, 2016. "Cyber Risk: Too Big to Insure? Risk Transfer Options for a mercurial risk class," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 59, number 59.

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