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Modeling discrete common-shock risks through matrix distributions
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MAP20260002019
Modeling discrete common-shock risks through matrix distributions / Martin Bladt... [et al.]
Sumario: This paper introduces a new class of bivariate Common-Shock Discrete Phase-Type (CDPH) distributions for modeling dependence in risk processes. The model couples two Markov chains that evolve jointly until a random common-shock time and then independently, yielding a tractable joint distribution. We derive key analytical properties, extend the framework to random-sum aggregate risks, and develop estimation procedures using the EM algorithm. Simulation studies and an application to bivariate insurance claim frequencies demonstrate the model's effectiveness, including its ability to estimate latent common-shock components
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 19/01/2026 Volume 56 Issue 1 - January 2026 , p. 101 - 126
1. Distribuciones estadísticas ‌. 2. Riesgo actuarial ‌. 3. Teoría del riesgo ‌. 4. Siniestros ‌. 5. Modelo de Markov ‌. 6. Dependencia ‌. 7. Matemática del seguro ‌. 8. Cálculo actuarial ‌. 9. Modelos matemáticos ‌. I. Bladt, Martin ‌. II. International Actuarial Association ‌.