Search Results - subject:"Farlie–Gumbel–Morgenstern"

Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

Yang, Haizhong; Li, Jinzhu - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 185-192

vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution, we derive for the finite-time ruin probability an …

Persistent link: https://www.econbiz.de/10010930906

Asymptotic finite-time ruin probability for bidimensional renewal risk model with constant interest force and dependent subexponential claims

Yang, Haizhong; Li, Jinzhu - In: Insurance / Mathematics & economics 58 (2014), pp. 185-192

Persistent link: https://www.econbiz.de/10010437565

A copula-based approach to account for dependence in stress-strength models

Domma, Filippo; Giordano, Sabrina - In: Statistical Papers 54 (2013) 3, pp. 807-826

calculate a closed-form expression for R by modeling the dependence through a Farlie-Gumbel-Morgenstern copula and one of its …

Persistent link: https://www.econbiz.de/10010998633

Efficient simulation of complete and censored samples from common bivariate exponential distributions

He, Qinying; Nagaraja, H.; Wu, Chunjie - In: Computational Statistics 28 (2013) 6, pp. 2479-2494

from Downton, Marshall–Olkin, Gumbel (Type I) and Farlie-Gumbel-Morgenstern bivariate exponential distributions. We show …

Persistent link: https://www.econbiz.de/10010998453

On the compound Poisson risk model with dependence and a threshold dividend strategy

Shi, Yafeng; Liu, Peng; Zhang, Chunsheng - In: Statistics & Probability Letters 83 (2013) 9, pp. 1998-2006

structure modeled by a Farlie–Gumbel–Morgenstern copula. The integro-differential equations satisfied by the Gerber …

Persistent link: https://www.econbiz.de/10010678720

On the independence between risk profiles in the compound collective risk actuarial model

Martel-Escobar, M.; Hernández-Bastida, A.; … - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 8, pp. 1419-1431

case of dependence between risk profiles (i.e., the parameters λ and θ), where the dependence is modelled by a Farlie–Gumbel–Morgenstern …

Persistent link: https://www.econbiz.de/10011050384

Characterizations of symmetric distributions based on Rényi entropy

Fashandi, M.; Ahmadi, Jafar - In: Statistics & Probability Letters 82 (2012) 4, pp. 798-804

-records is a characteristic property of symmetric distributions. Also, for Farlie–Gumbel–Morgenstern (FGM) family, it is shown …

Persistent link: https://www.econbiz.de/10011039971

On the analysis of a general class of dependent risk processes

Willmot, Gordon E.; Woo, Jae-Kyung - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 134-141

A generalized Sparre Andersen risk process is examined, whereby the joint distribution of the interclaim time and the ensuing claim amount is assumed to have a particular mathematical structure. This structure is present in various dependency models which have previously been proposed and...

Persistent link: https://www.econbiz.de/10010576733

The tail probability of the product of dependent random variables from max-domains of attraction

Yang, Yingying; Hu, Shuhe; Wu, Tao - In: Statistics & Probability Letters 81 (2011) 12, pp. 1876-1882

modeled via a multivariate Farlie–Gumbel–Morgenstern distribution. For each of the Fréchet, Gumbel and Weibull cases, we …

Persistent link: https://www.econbiz.de/10010576134

A bivariate regression model for matched paired survival data: local influence and residual analysis

Barriga, Gladys; Louzada-Neto, Francisco; Ortega, Edwin; … - In: Statistical Methods and Applications 19 (2010) 4, pp. 477-495

Persistent link: https://www.econbiz.de/10008775556