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ArticleRisk aggregation in multivariate dependent Pareto distributions

José Marı́a Sarabia2016

Article2016

Risk aggregation in multivariate dependent Pareto distributions

José Marı́a Sarabia · Emilio Gómez–Déniz · Faustino Prieto · Vanesa Jordá

31 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1999Loss Models: From Data to Decisions 2001Stochastic Processes for Insurance and Finance 2008Modern Actuarial Risk Theory 2008Generalized Linear Models for Insurance Data 2000Stochastic Processes for Insurance and Finance 2002Modern Actuarial Risk Theory 2006On a risk model with dependence between interclaim arrivals and claim sizes 2006Exponential Behavior in the Presence of Dependence in Risk Theory

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2018Aggregation of Dependent Risks in Mixtures of Exponential Distributions and Extensions 2020Holistic Principle for Risk Aggregation and Capital Allocation

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Year2016

Typearticle

Published2016-08-29

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations31

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2016.07.009

openalex_workW2963285401

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