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Compound Poisson approximations for individual models with dependent risks

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  • Genest, Christian
  • Marceau, Etienne
  • Mesfioui, Mhamed

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  • 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.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:1:p:73-91
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    References listed on IDEAS

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    1. Wei, Gang & Hu, Taizhong, 2002. "Supermodular dependence ordering on a class of multivariate copulas," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 375-385, May.
    2. Vellaisamy, P. & Chaudhuri, B., 1999. "On compound Poisson approximation for sums of random variables," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 179-189, January.
    3. Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
    4. Gerber, Hans U., 1984. "Error bounds for the compound poisson approximation," Insurance: Mathematics and Economics, Elsevier, vol. 3(3), pages 191-194, July.
    5. 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.
    6. 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.
    7. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    8. Shaked, Moshe & Shanthikumar, J. George, 1997. "Supermodular Stochastic Orders and Positive Dependence of Random Vectors," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 86-101, April.
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    Cited by:

    1. 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.
    2. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    3. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
    4. Sarabia, José María & Gómez-Déniz, Emilio & Prieto, Faustino & Jordá, Vanesa, 2016. "Risk aggregation in multivariate dependent Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 154-163.
    5. 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.
    6. 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.
    7. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Stat Trek," Dependence Modeling, De Gruyter, vol. 4(1), pages 109-122, May.
    8. Cossette, Hélène & Côté, Marie-Pier & Mailhot, Mélina & Marceau, Etienne, 2014. "A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 1-20.
    9. 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.

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