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Aggregation of Dependent Risks in Mixtures of Exponential Distributions and Extensions
15 references·0 citing·36 second hop
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References

  • 1999An Introduction to Copulas7,812 cited
  • 1999Loss Models: From Data to Decisions1,247 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals806 cited
  • 1984Some Generalized Functions for the Size Distribution of Income667 cited
  • 2008Some Generalized Functions for the Size Distribution of Income665 cited
  • 2010Ruin Probabilities645 cited
  • 2008Loss Models232 cited
  • 2010Explicit ruin formulas for models with dependence among risks105 cited
  • 2005The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance104 cited
  • 2013Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation69 cited
  • 2012Copula based hierarchical risk aggregation through sample reordering55 cited
  • 2015A copula‐based risk aggregation model36 cited
  • 2016Risk aggregation in multivariate dependent Pareto distributions31 cited
  • 2016Generalized inverse Lindley distribution with application to Danish fire insurance data30 cited
  • 2014On the distribution of sums of random variables with copula-induced dependence27 cited

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