Ren, Jiandong - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 402-408
In this paper, we introduce a multivariate aggregate loss model, where multiple categories of losses are considered. The model assumes that different types of claims arrive according to a Marked Markovian arrival process (MMAP) introduced by He and Neuts (1998) in the queuing literature. This...