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This paper introduces a new characterization of multivariate normality of a random vector based on univariate normality of linear combinations of its components.
Persistent link: https://www.econbiz.de/10008861540
In risk management, ignoring the dependence among various types of claims often results in over-estimating or under-estimating the ruin probabilities of a portfolio. This paper focuses on three commonly used ruin probabilities in multivariate compound risk models, and using the comparison...
Persistent link: https://www.econbiz.de/10005153005