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  • Search: subject:"Farlie–Gumbel–Morgenstern class of distributions"
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Bivariate mixed Erlang 1 Combination of Erlangs 1 Coxian distribution 1 Farlie–Gumbel–Morgenstern class of distributions 1 Generalized Gerber–Shiu function 1 Lagrange polynomials 1 Sparre Andersen risk model 1
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Willmot, Gordon E. 1 Woo, Jae-Kyung 1
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Insurance: Mathematics and Economics 1
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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...
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