On some properties of a class of multivariate Erlang mixtures with insurance applications
By Gordon E. Willmot and Jae-Kyung Woo
| Year of publication: |
2015
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|---|---|
| Authors: | Willmot, Gordon E. ; Woo, Jae-Kyung |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 1, p. 151-173
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| Subject: | Multivariate mixed Erlang | scale mixtures | generalized Esscher transformation | stop-loss moments | residual lifetime distribution | risk measures | capital allocation | joint and last survivor | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Schätztheorie | Estimation theory |