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On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution

Vernic, Raluca - In: Insurance 79 (2018), pp. 184-193

Persistent link: https://www.econbiz.de/10011825436

Recursions for convolutions and compound distributions with insurance applications

Sundt, Bjørn; Vernic, Raluca - 2009

Persistent link: https://www.econbiz.de/10003793162

Inequalities for the De Pril approximation to the distribution of the number of policies with claims

Vernic, Raluca; Dhaene, Jan; Sundt, Bjørn - 2009

Persistent link: https://www.econbiz.de/10009126897

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

On a multivariate Pareto distribution

Asimit, Alexandru V.; Furman, Edward; Vernic, Raluca - In: Insurance 46 (2010) 2, pp. 308-316

Persistent link: https://www.econbiz.de/10003966591

Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims

Raducan, Anisoara Maria; Vernic, Raluca; Zbaganu, Gheorghita - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 421-443

Persistent link: https://www.econbiz.de/10011312279

On a fuzzy cash flow model with insurance applications

Ungureanu, Daniela; Vernic, Raluca - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 1, pp. 39-54

Persistent link: https://www.econbiz.de/10010513465

On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims

Răducan, Anişoara Maria; Vernic, Raluca; Zbăganu, … - In: Scandinavian actuarial journal (2017) 5, pp. 441-451

Persistent link: https://www.econbiz.de/10011772219

Asymptotics for risk capital allocations based on conditional tail expectation

Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance 49 (2011) 3, pp. 310-324

Persistent link: https://www.econbiz.de/10009404721

On some multivariate Sarmanov mixed Erlang reinsurance risks : aggregation and capital allocation

Ratovomirija, Gildas; Tamraz, Maissa; Vernic, Raluca - In: Insurance 74 (2017), pp. 197-209

Persistent link: https://www.econbiz.de/10011712525