Centro de Documentacion de Fundación MAPFRE - On the evaluation of multivariate compound distributions with continuous severity distributions and sarmanov's counting distribution

MAP20180022623

On the evaluation of multivariate compound distributions with continuous severity distributions and sarmanov's counting distribution / Maissa Tamraz, Raluca Vernic

Sumario: 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 841-870

1. Cálculo actuarial . 2. Matemática del seguro . 3. Métodos de cálculo . 4. Métodos actuariales . 5. Modelo estocástico . I. Vernic, Raluca . II. Título.