The discrete-time risk model with correlated classes of business

Author:

Cossette Hélène,Marceau Etienne

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference19 articles.

1. On the distribution of a sum of correlated aggregated claims;Ambagaspitiya;Insurance: Mathematics and Economics,1998

2. Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.A., Nesbitt, C.J., 1997. Actuarial Mathematics. Society of Actuaries, Schaumburg, IL.

3. Bühlmann, H., 1970. Mathematical Methods in Risk Theory. Springer, New York.

4. Bühlmann, H., 1984. Numerical evaluation of the compound Poisson distribution: recurson or fast Fourier transform? Scandinavian Actuarial Journal, pp. 116–126.

5. Cummins, J.D., Wiltbank, L.J., 1983. Estimating the total claims distribution using multivariate frequency and severity distributions. Journal of Risk and Insurance, pp. 377–403.

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