On samanov mixed erlang risks in insurance applications
Détails
Etat: Public
Version: de l'auteur⸱e
Licence: Non spécifiée
ID Serval
serval:BIB_3AAE449C5AAA
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
On samanov mixed erlang risks in insurance applications
Périodique
ASTIN Bulletin
ISSN
0515-0361 (Print)
1783-1350 (Electronic)
1783-1350 (Electronic)
Statut éditorial
Publié
Date de publication
01/2015
Peer-reviewed
Oui
Volume
45
Numéro
1
Pages
175-205
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.
Mots-clé
Risk aggregation, Sarmanov distribution, mixed Erlang distribution, dependence measures, capital allocation
Web of science
Création de la notice
29/08/2014 12:58
Dernière modification de la notice
20/08/2019 14:30