Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
We introduce a compound multivariate distribution designed for modeling insurance losses arising from different risk sources in insurance companies. The distribution is based on a discrete-time Markov Chain and generalizes the multivariate compound negative binomial distribution, which is widely used for modeling insurance losses.We derive fundamental properties of the distribution and discuss computational aspects facilitating calculations of risk measures of the aggregate loss, as well as allocations of the aggregate loss to individual types of risk sources. Explicit formulas for the joint moment generating function and the joint moments of different loss types are derived, and recursive formulas for calculating the joint distributions given. Several special cases of particular interest are analyzed. An illustrative numerical example is provided.
Kategorie tematyczne
- 62E10: Characterization and structure theory
- 60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
- 62P05: Applications to actuarial sciences and financial mathematics
- 60E05: Distributions: general theory
Wydawca
Czasopismo
Rocznik
Tom
Numer
Strony
304-315
Opis fizyczny
Daty
wydano
2017-12-20
otrzymano
2017-08-29
zaakceptowano
2017-12-02
online
2017-12-29
Twórcy
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_demo-2017-0018