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Variability of total claim amounts under dependence between claims severity and number of events

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  • Belzunce, Felix
  • Ortega, Eva-Maria
  • Pellerey, Franco
  • Ruiz, Jose M.

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  • Belzunce, Felix & Ortega, Eva-Maria & Pellerey, Franco & Ruiz, Jose M., 2006. "Variability of total claim amounts under dependence between claims severity and number of events," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 460-468, June.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:3:p:460-468
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    References listed on IDEAS

    as
    1. Hu, Taizhong & Pan, Xiaoming, 1999. "Preservation of multivariate dependence under multivariate claim models," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 171-179, November.
    2. 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.
    3. Müller, Alfred & Scarsini, Marco, 2000. "Some Remarks on the Supermodular Order," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 107-119, April.
    4. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    5. Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
    6. J. Pinquet, 1997. "Experience rating through heterogeneous models," THEMA Working Papers 97-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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    Cited by:

    1. Michel M. Denuit & Mhamed Mesfioui, 2016. "Multivariate Higher-Degree Stochastic Increasing Convexity," Journal of Theoretical Probability, Springer, vol. 29(4), pages 1599-1623, December.
    2. Shaked, Moshe, 2007. "Stochastic comparisons of multivariate random sums in the Laplace transform order, with applications," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1339-1344, July.
    3. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Michel Denuit & Esther Frostig & Benny Levikson, 2007. "Supermodular Comparison of Time-to-Ruin Random Vectors," Methodology and Computing in Applied Probability, Springer, vol. 9(1), pages 41-54, March.
    5. Antonio Di Crescenzo & Franco Pellerey, 2019. "Some Results and Applications of Geometric Counting Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 203-233, March.
    6. Denuit, Michel & Mesfioui, Mhamed, 2013. "Multivariate higher-degree stochastic increasing convexity," LIDAM Discussion Papers ISBA 2013016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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