Search Results - subject:"Collective Risk Model"

On a multiplicative multivariate gamma distribution with applications in insurance

Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks : open access journal 6 (2018) 3, pp. 1-20

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...

Persistent link: https://www.econbiz.de/10011890776

A multi-year microlevel collective risk model

Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano - In: Insurance / Mathematics & economics 100 (2021), pp. 309-328

Persistent link: https://www.econbiz.de/10012622396

Predictive risk analysis using a collective risk model : choosing between past frequency and aggregate severity information

Oh, Rosy; Lee, Youngju; Zhu, Dan; Ahn, Jae Youn - In: Insurance / Mathematics & economics 96 (2021), pp. 127-139

Persistent link: https://www.econbiz.de/10012482789

On copula-based collective risk models : from elliptical copulas to vine copulas

Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo - In: Scandinavian actuarial journal 2021 (2021) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012484027

On log-normal convolutions : an analytical-numerical method with applications to economic capital determination

Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey - In: Insurance / Mathematics & economics 90 (2020), pp. 120-134

Persistent link: https://www.econbiz.de/10012169509

The impact of reinsurance strategies on capital requirements for premium risk in insurance

Clemente, Gian Paolo; Savelli, Nino; Zappa, Diego - In: Risks 3 (2015) 2, pp. 139-163

based on a Collective Risk Model properly extended in order to consider not only the volatility of aggregate claim amounts …

Persistent link: https://www.econbiz.de/10011709522

The impact of reinsurance strategies on capital requirements for premium risk in insurance

Clemente, Gian Paolo; Savelli, Nino; Zappa, Diego - In: Risks : open access journal 3 (2015) 2, pp. 164-182

based on a Collective Risk Model properly extended in order to consider not only the volatility of aggregate claim amounts …

Persistent link: https://www.econbiz.de/10011300336

An application of fractional differential equations to risk theory

Constantinescu, Corina; Ramirez, Jorge M.; Zhu, Wei - In: Finance and stochastics 23 (2019) 4, pp. 1001-1024

Persistent link: https://www.econbiz.de/10012114683

The compound DGL/Erlang distribution in the collective risk model

Gómez Déniz, Emilio; Calderín Ojeda, Enrique - In: Revista de Métodos Cuantitativos para la Economía y … 16 (2013), pp. 121-142

In this paper the analysis of the collective risk model assuming Erlang loss, when the claim frequency follows the …

Persistent link: https://www.econbiz.de/10011307196

The compound DGL/Erlang distribution in the collective risk model

Gómez Déniz, Emilio; Calderín Ojeda, Enrique - In: Revista de métodos cuantitativos para la economía y … 16 (2013), pp. 121-142

In this paper the analysis of the collective risk model assuming Erlang loss, when the claim frequency follows the …

Persistent link: https://www.econbiz.de/10010212438