ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION

Détails

ID Serval
serval:BIB_830EEDB3E432
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION
Périodique
ASTIN Bulletin
Auteur⸱e⸱s
Tamraz Maissa, Vernic Raluca
ISSN
0515-0361
1783-1350
Statut éditorial
Publié
Date de publication
05/2018
Peer-reviewed
Oui
Volume
48
Numéro
02
Pages
841-870
Langue
anglais
Résumé
In this paper, we present closed-type formulas for some multivariate compound distributions with multivariate Sarmanov counting distribution and independent Erlang distributed claim sizes. Further on, we also consider a type-II Pareto dependency between the claim sizes of a certain type. The resulting densities rely on the special hypergeometric function, which has the advantage of being implemented in the usual software. We numerically illustrate the applicability and efficiency of such formulas by evaluating a bivariate cumulative distribution function, which is also compared with the similar function obtained by the classical recursion-discretization approach.
Mots-clé
Multivariate compound model, sarmanov's multivariate discrete distribution, Erlang distribution, type-II Pareto multivariate distribution, hypergeometric function
Web of science
Création de la notice
24/03/2018 20:49
Dernière modification de la notice
20/08/2019 15:43
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