Multivariate collective risk model: Dependent claim numbers and Panjer's recursion
Year of publication: |
2020
|
---|---|
Authors: | Rudolph, Cordelia ; Schmock, Uwe |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 2, p. 1-31
|
Publisher: |
Basel : MDPI |
Subject: | extended CreditRisk+ | Poisson mixture distribution | dependence modelling | compound distribution | Panjer recursion |
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