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On the evaluation of multivariate compound distributions with continuous severity distributions and sarmanov's counting distribution

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20180022623
003  MAP
005  20180717154922.0
008  180712e20180501bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20180010507‎$a‎Tamraz, Maissa
24510‎$a‎On the evaluation of multivariate compound distributions with continuous severity distributions and sarmanov's counting distribution‎$c‎Maissa Tamraz, Raluca Vernic
520  ‎$a‎In 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
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080586348‎$a‎Métodos de cálculo
650 4‎$0‎MAPA20080591953‎$a‎Métodos actuariales
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
7001 ‎$0‎MAPA20180010651‎$a‎Vernic, Raluca
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 841-870