Modeling discrete common-shock risks through matrix distributions

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<dc:creator>Bladt, Martin</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2026-01-15</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189429.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Distribuciones estadísticas</dc:subject>
<dc:subject xml:lang="es">Riesgo actuarial</dc:subject>
<dc:subject xml:lang="es">Teoría del riesgo</dc:subject>
<dc:subject xml:lang="es">Siniestros</dc:subject>
<dc:subject xml:lang="es">Modelo de Markov</dc:subject>
<dc:subject xml:lang="es">Dependencia</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Modeling discrete common-shock risks through matrix distributions</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
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