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Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation

Citations

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Cited by:

  1. Ignatieva, Katja & Landsman, Zinoviy, 2019. "Conditional tail risk measures for the skewed generalised hyperbolic family," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 98-114.
  2. H'el`ene Cossette & Etienne Marceau & Alessandro Mutti & Patrizia Semeraro, 2024. "Generalized FGM dependence: Geometrical representation and convex bounds on sums," Papers 2406.10648, arXiv.org, revised Oct 2024.
  3. Gildas Ratovomirija, 2015. "Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk," Papers 1501.07297, arXiv.org.
  4. Mohammed, Nawaf & Furman, Edward & Su, Jianxi, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 425-436.
  5. Martial Longla & Mous-Abou Hamadou, 2025. "Estimation problems for some perturbations of the independence copula," Statistical Papers, Springer, vol. 66(7), pages 1-43, December.
  6. Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers 2201.11122, arXiv.org.
  7. Brandt, Nikolai M. & Eckwert, Bernhard & Várdy, Felix, 2021. "Bayesian learning with variable prior," Journal of Mathematical Economics, Elsevier, vol. 97(C).
  8. Albrecher, Hansjörg & Cheung, Eric C.K. & Liu, Haibo & Woo, Jae-Kyung, 2022. "A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 96-118.
  9. Faramarz Khosravi & Gokhan Izbirak, 2025. "A copula-based exponential probabilistic model for factor-dependence social sustainability assessment," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 27(1), pages 433-481, January.
  10. Mejdoub, Hanène & Ben Arab, Mounira, 2018. "Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 208-218.
  11. Hélène Cossette & Etienne Marceau & Alessandro Mutti & Patrizia Semeraro, 2025. "Generalized FGM dependence: geometrical representation and convex bounds on sums," Statistical Papers, Springer, vol. 66(7), pages 1-40, December.
  12. Belles-Sampera, Jaume & Guillén, Montserrat & Santolino, Miguel, 2014. "GlueVaR risk measures in capital allocation applications," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 132-137.
  13. 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.
  14. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Working Papers hal-03169291, HAL.
  15. Genest, Christian & Hron, Karel & Nešlehová, Johanna G., 2023. "Orthogonal decomposition of multivariate densities in Bayes spaces and relation with their copula-based representation," Journal of Multivariate Analysis, Elsevier, vol. 198(C).
  16. Nawaf Mohammed & Edward Furman & Jianxi Su, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation," Papers 2102.05003, arXiv.org, revised Aug 2021.
  17. Raluca Vernic, 2017. "Capital Allocation for Sarmanov’s Class of Distributions," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 311-330, March.
  18. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2023. "Risk aggregation with FGM copulas," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 102-120.
  19. Vernic, Raluca, 2018. "On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 184-193.
  20. 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.
  21. Ratovomirija, Gildas & Tamraz, Maissa & Vernic, Raluca, 2017. "On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 197-209.
  22. Khouzeima Moutanabbir & Houenansi Placide Ezin, 2025. "A Large Class of Bilateral Distributions for Financial Applications," Methodology and Computing in Applied Probability, Springer, vol. 27(3), pages 1-29, September.
  23. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Papers 2103.10989, arXiv.org.
  24. Marri, Fouad & Moutanabbir, Khouzeima, 2022. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 75-90.
  25. Cheung, Eric C.K. & Peralta, Oscar & Woo, Jae-Kyung, 2022. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 364-389.
  26. Yin, Cuihong & Sheldon Lin, X. & Huang, Rongtan & Yuan, Haili, 2019. "On the consistency of penalized MLEs for Erlang mixtures," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 12-20.
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