2016/11/25 by Gildas Ratovomirija, Ratovomirija, Gildas, Maissa Tamraz +3
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Probability and Risk Models #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management
paper · pdf · doi:10.48550/arxiv.1611.08464
Following some recent works on risk aggregation and capital allocation for\nmixed Erlang risks joined by Sarmanov's multivariate distribution, in this\npaper we present some closed-form formulas for the same topic by considering,\nhowever, a different kernel function for Sarmanov's distribution, not\npreviously studied in this context. The risk aggregation and capital allocation\nformulas are derived and numerically illustrated in the general framework of\nstop-loss reinsurance, and then in the particular case with no stop-loss\nreinsurance. A discussion of the dependency structure of the considered\ndistribution, based on Pearson's correlation coefficient, is also presented for\ndifferent kernel functions and illustrated in the bivariate case.\n