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Aggregation of dependent risks in mixtures of exponential distributions and extensions
Recurso electrónico / Electronic resource
MAP20180031106
Aggregation of dependent risks in mixtures of exponential distributions and extensions / José María Sarabia... [et al.]
Sumario: The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk management and in many branches of applied probability. This paper obtains analytic expressions for the probability density function (pdf) and the cumulative distribution function (cdf) of aggregated risks, modelled according to a mixture of exponential distributions
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1079-1108
1. Métodos estadísticos ‌. 2. Cálculo actuarial ‌. 3. Evaluación de riesgos ‌.