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- Publisher Website: 10.1017/asb.2014.23
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Article: On some properties of a class of multivariate Erlang mixtures with insurance applications
Title | On some properties of a class of multivariate Erlang mixtures with insurance applications |
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Authors | |
Keywords | capital allocation generalized Esscher transformation joint and last survivor Multivariate mixed Erlang residual lifetime distribution risk measures scale mixtures stop-loss moments |
Issue Date | 2015 |
Publisher | Cambridge. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST |
Citation | ASTIN Bulletin, 2015, v. 45, p. 151-173 How to Cite? |
Abstract | We discuss some properties of a class of multivariate mixed Erlang distributions with different scale parameters and describes various distributional properties related to applications in insurance risk theory. Some representations involving scale mixtures, generalized Esscher transformations, higher-order equilibrium distributions, and residual lifetime distributions are derived. These results allows for the study of stop-loss moments, premium calculation, and the risk allocation problem. Finally, some results concerning minimum and maximum variables are derived and applied to pricing joint life and last survivor policies. |
Persistent Identifier | http://hdl.handle.net/10722/211945 |
ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 0.979 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Willmot, GE | - |
dc.contributor.author | Woo, JK | - |
dc.date.accessioned | 2015-07-21T02:17:20Z | - |
dc.date.available | 2015-07-21T02:17:20Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | ASTIN Bulletin, 2015, v. 45, p. 151-173 | - |
dc.identifier.issn | 0515-0361 | - |
dc.identifier.uri | http://hdl.handle.net/10722/211945 | - |
dc.description.abstract | We discuss some properties of a class of multivariate mixed Erlang distributions with different scale parameters and describes various distributional properties related to applications in insurance risk theory. Some representations involving scale mixtures, generalized Esscher transformations, higher-order equilibrium distributions, and residual lifetime distributions are derived. These results allows for the study of stop-loss moments, premium calculation, and the risk allocation problem. Finally, some results concerning minimum and maximum variables are derived and applied to pricing joint life and last survivor policies. | - |
dc.language | eng | - |
dc.publisher | Cambridge. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST | - |
dc.relation.ispartof | ASTIN Bulletin | - |
dc.subject | capital allocation | - |
dc.subject | generalized Esscher transformation | - |
dc.subject | joint and last survivor | - |
dc.subject | Multivariate mixed Erlang | - |
dc.subject | residual lifetime distribution | - |
dc.subject | risk measures | - |
dc.subject | scale mixtures | - |
dc.subject | stop-loss moments | - |
dc.title | On some properties of a class of multivariate Erlang mixtures with insurance applications | - |
dc.type | Article | - |
dc.identifier.email | Woo, JK: jkwoo@hku.hk | - |
dc.identifier.authority | Woo, JK=rp01623 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1017/asb.2014.23 | - |
dc.identifier.scopus | eid_2-s2.0-84919845223 | - |
dc.identifier.hkuros | 244918 | - |
dc.identifier.volume | 45 | - |
dc.identifier.spage | 151 | - |
dc.identifier.epage | 173 | - |
dc.identifier.eissn | 1783-1350 | - |
dc.identifier.isi | WOS:000347616200006 | - |
dc.publisher.place | UK | - |
dc.identifier.issnl | 0515-0361 | - |