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Collective risk models with dependence

Published:2019-07 Issue: Volume:87 Page:153-168
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Cossette Hélène,Marceau Etienne,Mtalai Itre

Funder

Natural Sciences and Engineering Research Council of Canada

Chaire en actuariat de l’Université Laval

Publisher

Elsevier BV

Subject

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

Reference37 articles.

1. The Fourier-series method for inverting transforms of probability distributions;Abate;Queueing Syst.,1992

2. On simple ruin expressions in dependent sparre Andersen risk models;Albrecher;J. Appl. Probab.,2014

3. Tvar-based capital allocation with copulas;Bargès;Insurance Math. Econom.,2009

4. Stochastic orders and risk measures: Consistency and bounds;Bäuerle;Insurance Math. Econom.,2006

5. On a risk model with dependence between interclaim arrivals and claim sizes;Boudreault;Scand. Actuar. J.,2006

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