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  • Search: subject:"Multivariate compound Poisson distributions"
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Capital allocation 1 Dependence models 1 Mixed Erlang distribution 1 Multivariate compound Poisson distributions 1 Multivariate compound distributions 1 Tail value at risk 1
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Cossette, Hélène 1 Mailhot, Mélina 1 Marceau, Étienne 1
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Insurance: Mathematics and Economics 1
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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
In this paper, we consider a portfolio of n dependent risks X1,…,Xn and we study the stochastic behavior of the aggregate claim amount S=X1+⋯+Xn. Our objective is to determine the amount of economic capital needed for the whole portfolio and to compute the amount of capital to be allocated...
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