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Mhalla, Linda; Hambuckers, Julien; Lambert, Marie - In: Journal of applied econometrics 37 (2022) 5, pp. 988-1009

Persistent link: https://www.econbiz.de/10013464644

Risk Models Defined With Multivariate Mixtures of Exponential Distributions

Cossette, Hélène - 2019

Mixed exponential distributions are frequently used in actuarial risk modeling. Distributions obtained through mixtures …

Persistent link: https://www.econbiz.de/10012899050

Multivariate modelling of household claim frequencies in motor third-party liability insurance

Pechon, Florian; Trufin, Julien; Denuit, Michel - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 969-993

Persistent link: https://www.econbiz.de/10011999834

On a multiplicative multivariate gamma distribution with applications in insurance

Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks : open access journal 6 (2018) 3, pp. 1-20

using the closure under convolutions property. This direction yields an additive background risk model, and it has been very … multiplicative background risk model (MBRM), has been by far less investigated. In this paper, we reintroduce the multiplicative … study the links to the MBRM, employ the machinery of divided differences to derive the distribution of the aggregate risk …

Persistent link: https://www.econbiz.de/10011890776

Ruin probabilities in multivariate risk models with periodic common shock

Cojocaru, Ionica - In: Scandinavian actuarial journal (2017) 2, pp. 159-174

Persistent link: https://www.econbiz.de/10011772073

Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 195-204

Persistent link: https://www.econbiz.de/10011630650

Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

Konstantinides, Dimitrios G.; Li, Jinzhu - In: Insurance / Mathematics & economics 69 (2016), pp. 38-44

Persistent link: https://www.econbiz.de/10011530921

Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance

Hägele, Miriam; Lehtomaa, Jaakko - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18

Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example …, essentially, minimal assumptions. As an application, an optimisation method for a large class of Quota Share (QS) risk sharing …

Persistent link: https://www.econbiz.de/10012534499

Multivariate geometric tail- and range-value-at-risk

Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 265-292

Persistent link: https://www.econbiz.de/10012194132

Strongly consistent multivariate conditional risk measures

Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor - In: Mathematics and financial economics 12 (2018) 3, pp. 413-444

Persistent link: https://www.econbiz.de/10011963870