Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; … - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 560-572
In this paper, we investigate risk aggregation and capital allocation problems for a portfolio of possibly dependent risks whose multivariate distribution is defined with the Farlie–Gumbel–Morgenstern copula and mixed Erlang distribution marginals. In such a context, we first show that the...