Titre
On samanov mixed erlang risks in insurance applications
Type
article
Institution
UNIL/CHUV/Unisanté + institutions partenaires
Périodique
Auteur(s)
Hashorva, E.
Auteure/Auteur
Ratovomirija, G.
Auteure/Auteur
Liens vers les personnes
Liens vers les unités
ISSN
0515-0361
Statut éditorial
Publié
Date de publication
2015-01
Volume
45
Numéro
1
Première page
175
Dernière page/numéro d’article
205
Peer-reviewed
Oui
Langue
anglais
Résumé
In this paper we consider an extension to the aggregation of the FGM mixed Erlang risks, proposed by Cossette et al. (2013 Insurance: Mathematics and Economics, 52, 560-572), in which we introduce the Sarmanov distribution to model the dependence structure. For our framework, we demonstrate that the aggregated risk belongs to the class of Erlang mixtures. Following results from S. C. K. Lee and X. S. Lin (2010 North American Actuarial Journal, 14(1) 107130), G. E. Willmot and X. S. Lin (2011 Applied Stochastic Models in Business and Industry, 27(1) 8-22), analytical expressions of the contribution of each individual risk to the economic capital for the entire portfolio are derived under both the TVaR and the covariance capital allocation principle. By analysing the commonly used dependence measures, we also show that the dependence structure is wide and flexible. Numerical examples and simulation studies illustrate the tractability of our approach.
PID Serval
serval:BIB_3AAE449C5AAA
Date de création
2014-08-29T10:58:33.945Z
Date de création dans IRIS
2025-05-20T15:37:03Z
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Nom
BIB_3AAE449C5AAA.P001.pdf
Version du manuscrit
preprint
Taille
470.23 KB
Format
Adobe PDF
PID Serval
serval:BIB_3AAE449C5AAA.P001
URN
urn:nbn:ch:serval-BIB_3AAE449C5AAA6
Somme de contrôle
(MD5):2aade02d27e5e677e8a26962c94aaf03