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Risk aggregation in multivariate dependent Pareto distributions
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Risk aggregation in multivariate dependent Pareto distributions (2016)Risk aggregation in multivariate dependen…Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation (2013)Multivariate distribution def…On a multivariate Pareto distribution (2009)On a multivariate Pareto dist…On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula (2008)On the compound Poisson risk …Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryGeneralized Linear Models for Insurance Data (2008)Generalized Linear Models for…On a risk model with dependence between interclaim arrivals and claim sizes (2006)On a risk model with dependen…Exponential Behavior in the Presence of Dependence in Risk Theory (2006)Exponential Behavior in the P…Compound binomial risk model in a markovian environment (2004)Compound binomial risk model …Compound Poisson approximations for individual models with dependent risks (2003)Compound Poisson approximatio…Modern Actuarial Risk Theory (2002)Modern Actuarial Risk TheoryStochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insu…Loss Models: from Data to Decisions. By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998] (1999)Loss Models: from Data to Dec…Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Mathematical Fun with the Compound Binomial Process (1988)Mathematical Fun with the Com…Holistic Principle for Risk Aggregation and Capital Allocation (2020)Holistic Principle for Risk A…Aggregation of Dependent Risks in Mixtures of Exponential Distributions and Extensions (2018)Aggregation of Dependent Risk…Aspects of Risk Theory (1991)On the Time Value of Ruin (1998)Stochastic Processes for Insurance & Finance (1999)Extremes on the discounted aggregate claims in a time dependent risk model (2009)Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010)Actuarial Mathematics. (1986)The Probability of Eventual Ruin in the Compound Binomial Model (1989)On the distribution of the surplus prior to ruin (1992)Ruin probabilities for time-correlated claims in the compound binomial model (2001)Insurance: Mathematics and Economics (2004)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)An Introduction to Copulas (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk Theory. (1971)Practical Risk Theory for Actuaries. (1994)AGGREGATION OF CORRELATED RISK PORTFOLIOS: MODELS AND ALGORITHMS (1999)Capital and Risk: New Evidence on Implications of Large Operational Losses (2006)Modeling loss data using composite models (2014)The concept of comonotonicity in actuarial science and finance: applications (2002)Risk measures and comonotonicity (2006)Risk Measures and Comonotonicity: A Review (2006)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On minimizing the ruin probability by investment and reinsurance (2002)On the optimal dividend problem for a spectrally negative Lévy process (2007)Understanding Relationships Using Copulas (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures (2007)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)The application of continuous-time random walks in finance and economics (2005)Actuarial Mathematics for Life Contingent Risks (2019)Multivariate Frequency-Severity Regression Models in Insurance (2016)Health-related quality of life measured with the EQ-5D-5L: estimation of normative index values based on a representative German population sample and value set (2019)Quality of life under the COVID-19 quarantine (2021)
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References

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  • 1988Mathematical Fun with the Compound Binomial Process170 cited
  • 1999Loss Models: from Data to Decisions. By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998]164 cited
  • 2008On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula132 cited
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  • 2009On a multivariate Pareto distribution64 cited
  • 2003Compound Poisson approximations for individual models with dependent risks44 cited
  • 2004Compound binomial risk model in a markovian environment

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  • 2018Aggregation of Dependent Risks in Mixtures of Exponential Distributions and Extensions27 cited
  • 2020Holistic Principle for Risk Aggregation and Capital Allocation25 cited