Multivariate matrix-exponential affine mixtures and their applications in risk theory

Author:

Cheung Eric C.K.,Peralta OscarORCID,Woo Jae-Kyung

Funder

Australian Research Council

Publisher

Elsevier BV

Subject

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

Reference79 articles.

1. CoVaR;Adrian;The American Economic Review,2016

2. A new class of models for heavy tailed distributions in finance and insurance risk;Ahn;Insurance. Mathematics & Economics,2012

3. Reinsurance: Actuarial and Statistical Aspects;Albrecher,2017

4. Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case;Albrecher;Scandinavian Journal of Statistics,2022

5. The least variable phase type distribution is Erlang;Aldous;Stochastic Models,1987

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2. Risk aggregation with FGM copulas;Insurance: Mathematics and Economics;2023-07

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