IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v32y2003i1p73-91.html
   My bibliography  Save this article

Compound Poisson approximations for individual models with dependent risks

Author

Listed:
  • Genest, Christian
  • Marceau, Etienne
  • Mesfioui, Mhamed

Abstract

No abstract is available for this item.

Suggested Citation

  • Genest, Christian & Marceau, Etienne & Mesfioui, Mhamed, 2003. "Compound Poisson approximations for individual models with dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 73-91, February.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:1:p:73-91
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(02)00205-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Vellaisamy, P. & Chaudhuri, B., 1999. "On compound Poisson approximation for sums of random variables," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 179-189, January.
    2. Wei, Gang & Hu, Taizhong, 2002. "Supermodular dependence ordering on a class of multivariate copulas," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 375-385, May.
    3. Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
    4. Gerber, Hans U., 1984. "Error bounds for the compound poisson approximation," Insurance: Mathematics and Economics, Elsevier, vol. 3(3), pages 191-194, July.
    5. Goovaerts, M. J. & Dhaene, J., 1996. "The compound Poisson approximation for a portfolio of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 81-85, May.
    6. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
    7. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    8. Shaked, Moshe & Shanthikumar, J. George, 1997. "Supermodular Stochastic Orders and Positive Dependence of Random Vectors," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 86-101, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cossette, Hélène & Marceau, Etienne & Perreault, Samuel, 2015. "On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 214-224.
    2. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
    3. Sarabia, José María & Gómez-Déniz, Emilio & Prieto, Faustino & Jordá, Vanesa, 2016. "Risk aggregation in multivariate dependent Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 154-163.
    4. Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
    5. Marceau, Etienne, 2009. "On the discrete-time compound renewal risk model with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 245-259, April.
    6. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Stat Trek. An interview with Christian Genest," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, May.
    7. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    8. Cossette, Hélène & Côté, Marie-Pier & Mailhot, Mélina & Marceau, Etienne, 2014. "A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 1-20.
    9. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 223-256, August.
    2. N. S. Upadhye & P. Vellaisamy, 2014. "Compound Poisson Approximation to Convolutions of Compound Negative Binomial Variables," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 951-968, December.
    3. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
    4. Katsuichiro Goda & Jiandong Ren, 2010. "Assessment of Seismic Loss Dependence Using Copula," Risk Analysis, John Wiley & Sons, vol. 30(7), pages 1076-1091, July.
    5. Denuit, Michel & Lefevre, Claude & Utev, Sergey, 2002. "Measuring the impact of dependence between claims occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 1-19, February.
    6. repec:hal:journl:hal-00536925 is not listed on IDEAS
    7. Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R., 2015. "On multivariate extensions of the conditional Value-at-Risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 1-16.
    8. Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
    9. Denuit, Michel & Van Bellegem, Sébastien, 2001. "On the stop-loss and total variation distances between random sums," Statistics & Probability Letters, Elsevier, vol. 53(2), pages 153-165, June.
    10. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
    11. Georg Mainik & Ludger Ruschendorf, 2010. "Ordering of multivariate probability distributions with respect to extreme portfolio losses," Papers 1010.5171, arXiv.org.
    12. Tank, Fatih & Gebizlioglu, Omer L. & Apaydin, Aysen, 2006. "Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 189-194, February.
    13. Fabrizio Durante & Erich Klement & Carlo Sempi & Manuel Úbeda-Flores, 2010. "Measures of non-exchangeability for bivariate random vectors," Statistical Papers, Springer, vol. 51(3), pages 687-699, September.
    14. Iscoe, Ian & Kreinin, Alexander, 2007. "Valuation of synthetic CDOs," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3357-3376, November.
    15. Diba Daraei & Kristina Sendova, 2024. "Determining Safe Withdrawal Rates for Post-Retirement via a Ruin-Theory Approach," Risks, MDPI, vol. 12(4), pages 1-21, April.
    16. Savas Dayanik & Jing-Sheng Song & Susan H. Xu, 2003. "The Effectiveness of Several Performance Bounds for Capacitated Production, Partial-Order-Service, Assemble-to-Order Systems," Manufacturing & Service Operations Management, INFORMS, vol. 5(3), pages 230-251, December.
    17. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    18. Ho-Yin Mak & Zuo-Jun Max Shen, 2014. "Pooling and Dependence of Demand and Yield in Multiple-Location Inventory Systems," Manufacturing & Service Operations Management, INFORMS, vol. 16(2), pages 263-269, May.
    19. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
    20. Albrecher Hansjörg & Kantor Josef, 2002. "Simulation of ruin probabilities for risk processes of Markovian type," Monte Carlo Methods and Applications, De Gruyter, vol. 8(2), pages 111-128, December.
    21. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:32:y:2003:i:1:p:73-91. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.