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Modeling Dependent Risks with Multivariate Erlang Mixtures

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  • Lee, Simon C.K.
  • Lin, X. Sheldon

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  • Lee, Simon C.K. & Lin, X. Sheldon, 2012. "Modeling Dependent Risks with Multivariate Erlang Mixtures," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 42(01), pages 153-180, May.
  • Handle: RePEc:cup:astinb:v:42:y:2012:i:01:p:153-180_00
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    Cited by:

    1. Woo, Jae-Kyung, 2016. "On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 354-363.
    2. 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.
    3. repec:eee:insuma:v:74:y:2017:i:c:p:197-209 is not listed on IDEAS
    4. Alexandru V. Asimit & Raluca Vernic & Riċardas Zitikis, 2013. "Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model," Risks, MDPI, Open Access Journal, vol. 1(1), pages 1-20, March.
    5. Jonas Alm, 2015. "Signs of dependence and heavy tails in non-life insurance data," Papers 1501.00833, arXiv.org.
    6. Mélina Mailhot & Mhamed Mesfioui, 2016. "Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-16, September.
    7. Gildas Ratovomirija, 2015. "Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk," Papers 1501.07297, arXiv.org.
    8. Roel Verbelen & Katrien Antonio & Gerda Claeskens, 2016. "Multivariate mixtures of Erlangs for density estimation under censoring," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 22(3), pages 429-455, July.

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