Search Results - subject:"Compound Distributions"

Large-loss behavior of conditional mean risk sharing

Denuit, Michel; Robert, Christian Yann - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1093-1122

Persistent link: https://www.econbiz.de/10012307400

Calculate tail quantiles of compound distributions

Abdymomunov, Azamat; Curti, Filippo; Kane, Hayden - In: The journal of computational finance 22 (2018/2019) 5, pp. 41-70

Persistent link: https://www.econbiz.de/10012042235

Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines

Denuit, Michel - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 591-617

Persistent link: https://www.econbiz.de/10012116366

On compound sums under dependence

Eryilmaz, Serkan - In: Insurance / Mathematics & economics 72 (2017), pp. 228-234

Persistent link: https://www.econbiz.de/10011694663

A simple compound scan statistic useful for modeling insurance and risk management problems

Koutras, Vasileios M.; Koutras, Markos V.; Yalcin, Femin - In: Insurance / Mathematics & economics 69 (2016), pp. 202-209

Persistent link: https://www.econbiz.de/10011530961

Type II bivariate Pólya–Aeppli distribution

Minkova, Leda D.; Balakrishnan, N. - In: Statistics & Probability Letters 88 (2014) C, pp. 40-49

In this paper, we introduce the Type II bivariate Pólya–Aeppli distribution as a compound Poisson distribution with bivariate geometric compounding distribution. The probability mass function, recursion formulas, conditional distributions and some other properties are then derived for this...

Persistent link: https://www.econbiz.de/10011039881

On the nature of Phase-type poisson distributions

Hautphenne, Sophie; Latouche, Guy; Nguyen, Giang T. - In: Annals of actuarial science : publ. by the Institute of … 8 (2014) 1, pp. 79-98

Persistent link: https://www.econbiz.de/10010358001

Importance Sampling for Sums of Lognormal Distributions, with Applications to Operational Risk

Bee, Marco - Dipartimento di Economia e Management, Università … - 2007

In this paper we estimate tail probabilities for the sum of Lognormal distributions. We propose to use a defensive mixture, and develop a method of finding the optimal density via the EM algorithm; we also consider the technique which assumes the importance sampling density to belong to the same...

Persistent link: https://www.econbiz.de/10005628807

Compound weighted Poisson distributions

Minkova, Leda; Balakrishnan, N. - In: Metrika 76 (2013) 4, pp. 543-558

In this paper, we discuss discrete compound distributions, in which the counting distribution is a weighted Poisson …

Persistent link: https://www.econbiz.de/10010995109

TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne - In: Insurance: Mathematics and Economics 50 (2012) 2, pp. 247-256

,…,Xn), we consider risk models based on multivariate compound distributions defined with a multivariate counting … claim amounts are assumed to be continuously distributed. For multivariate compound distributions with continuous claim … each risk. We obtain closed-form expressions for those quantities for multivariate compound distributions with gamma and …

Persistent link: https://www.econbiz.de/10011046601