ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION
3
Institute for Mathematical Statistics and Applied Mathematics, Calea 13 Septembrie 13, 050711 Bucharest, Romania
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Publication type: Journal Article
Publication date: 2018-01-17
scimago Q1
wos Q1
SJR: 1.138
CiteScore: 3.1
Impact factor: 1.8
ISSN: 05150361, 17831350
Economics and Econometrics
Finance
Accounting
Abstract
In this paper, we present closed-type formulas for some multivariate compound distributions with multivariate Sarmanov counting distribution and independent Erlang distributed claim sizes. Further on, we also consider a type-II Pareto dependency between the claim sizes of a certain type. The resulting densities rely on the special hypergeometric function, which has the advantage of being implemented in the usual software. We numerically illustrate the applicability and efficiency of such formulas by evaluating a bivariate cumulative distribution function, which is also compared with the similar function obtained by the classical recursion-discretization approach.
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Tamraz M., Vernic R. ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION // ASTIN Bulletin. 2018. Vol. 48. No. 02. pp. 841-870.
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Tamraz M., Vernic R. ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION // ASTIN Bulletin. 2018. Vol. 48. No. 02. pp. 841-870.
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TY - JOUR
DO - 10.1017/asb.2017.46
UR - https://doi.org/10.1017/asb.2017.46
TI - ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION
T2 - ASTIN Bulletin
AU - Tamraz, Maissa
AU - Vernic, Raluca
PY - 2018
DA - 2018/01/17
PB - Cambridge University Press
SP - 841-870
IS - 02
VL - 48
SN - 0515-0361
SN - 1783-1350
ER -
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@article{2018_Tamraz,
author = {Maissa Tamraz and Raluca Vernic},
title = {ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION},
journal = {ASTIN Bulletin},
year = {2018},
volume = {48},
publisher = {Cambridge University Press},
month = {jan},
url = {https://doi.org/10.1017/asb.2017.46},
number = {02},
pages = {841--870},
doi = {10.1017/asb.2017.46}
}
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MLA
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Tamraz, Maissa, et al. “ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION.” ASTIN Bulletin, vol. 48, no. 02, Jan. 2018, pp. 841-870. https://doi.org/10.1017/asb.2017.46.