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On the distributions of two classes of correlated aggregate claims

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  • Ambagaspitiya, Rohana S.

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  • Ambagaspitiya, Rohana S., 1999. "On the distributions of two classes of correlated aggregate claims," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 301-308, May.
    • Handle: RePEc:eee:insuma:v:24:y:1999:i:3:p:301-308
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    References listed on IDEAS

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    1. Hesselager, Ole, 1994. "A Recursive Procedure for Calculation of some Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 19-32, May.
    2. Ambagaspitiya, Rohana S., 1998. "Compound bivariate Lagrangian Poisson distributions," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 21-31, October.
    3. Ambagaspitiya, R. S., 1995. "A family of discrete distributions," Insurance: Mathematics and Economics, Elsevier, vol. 16(2), pages 107-127, May.
    4. Cummins, J. David & Wiltbank, Laurel J., 1984. "A Multivariate Model of the Total Claims Process," ASTIN Bulletin, Cambridge University Press, vol. 14(1), pages 45-52, April.
    5. Ambagaspitiya, Rohana S., 1998. "On the distribution of a sum of correlated aggregate claims," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 15-19, October.
    6. Hesselager, Ole, 1996. "Recursions for certain bivariate counting distributions and their compound distributions," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 35-52, May.
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    Cited by:

    1. Sundt, Bjorn, 2002. "Recursive evaluation of aggregate claims distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 297-322, June.
    2. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
    3. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2017. "Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 151-174, March.
    4. He Liu & Zhenhua Bao, 2015. "On a Discrete Interaction Risk Model with Delayed Claims," JRFM, MDPI, vol. 8(4), pages 1-14, September.
    5. Chuancun Yin & Jing Yao & Yang Yang, 2024. "Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science," Statistical Papers, Springer, vol. 65(7), pages 4715-4744, September.
    6. Dang, Lanfen & Zhu, Ning & Zhang, Haiming, 2009. "Survival probability for a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 491-496, June.
    7. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    8. Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2024. "Edgeworth expansions for multivariate random sums," Econometrics and Statistics, Elsevier, vol. 31(C), pages 66-80.
    9. Bermúdez i Morata, Lluís, 2009. "A priori ratemaking using bivariate Poisson regression models," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 135-141, February.
    10. Lluis Bermúdez i Morata, 2008. "A priori ratemaking using bivariate poisson regression models," Working Papers XREAP2008-09, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008.
    11. Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
    12. Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2024. "The Method of Moments for Multivariate Random Sums," Working Papers 2024:6, Örebro University, School of Business.
    13. Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.
    14. Nicola Loperfido, 2019. "Finite mixtures, projection pursuit and tensor rank: a triangulation," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(1), pages 145-173, March.
    15. Ambagaspitiya, Rohana S., 2003. "Aggregate survival probability of a portfolio with dependent subportfolios," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 431-443, July.
    16. Pablo Azcue & Nora Muler & Zbigniew Palmowski, 2016. "Optimal dividend payments for a two-dimensional insurance risk process," Papers 1603.07019, arXiv.org, revised Apr 2018.
    17. Mehdi Amiri & Narayanaswamy Balakrishnan & Abbas Eftekharian, 2022. "Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 679-707, September.
    18. Wang, Guojing & Yuen, Kam C., 2005. "On a correlated aggregate claims model with thinning-dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 456-468, June.
    19. Zhang, Zhiqiang & Yuen, Kam C. & Li, Wai Keung, 2007. "A time-series risk model with constant interest for dependent classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 32-40, July.

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