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Persistent link: https://www.econbiz.de/10011712525
Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov's multivariate distribution, in this paper we present some closed-form formulas for the same topic by considering, however, a different kernel function for Sarmanov's distribution,...
Persistent link: https://www.econbiz.de/10012979413