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Article: On some properties of a class of multivariate Erlang mixtures with insurance applications

TitleOn some properties of a class of multivariate Erlang mixtures with insurance applications
Authors
Willmot, GEWoo, JK
Keywordscapital allocation
generalized Esscher transformation
joint and last survivor
Multivariate mixed Erlang
residual lifetime distribution
risk measures
scale mixtures
stop-loss moments
Issue Date2015
PublisherCambridge. 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?
DOI: http://dx.doi.org/10.1017/asb.2014.23
AbstractWe 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 Identifierhttp://hdl.handle.net/10722/211945
ISSN
0515-0361
2023 Impact Factor: 1.7
2023 SCImago Journal Rankings: 0.979
ISI Accession Number ID
WOS:000347616200006

 

DC FieldValueLanguage
dc.contributor.authorWillmot, GE-
dc.contributor.authorWoo, JK-
dc.date.accessioned2015-07-21T02:17:20Z-
dc.date.available2015-07-21T02:17:20Z-
dc.date.issued2015-
dc.identifier.citationASTIN Bulletin, 2015, v. 45, p. 151-173-
dc.identifier.issn0515-0361-
dc.identifier.urihttp://hdl.handle.net/10722/211945-
dc.description.abstractWe 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.languageeng-
dc.publisherCambridge. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST-
dc.relation.ispartofASTIN Bulletin-
dc.subjectcapital allocation-
dc.subjectgeneralized Esscher transformation-
dc.subjectjoint and last survivor-
dc.subjectMultivariate mixed Erlang-
dc.subjectresidual lifetime distribution-
dc.subjectrisk measures-
dc.subjectscale mixtures-
dc.subjectstop-loss moments-
dc.titleOn some properties of a class of multivariate Erlang mixtures with insurance applications-
dc.typeArticle-
dc.identifier.emailWoo, JK: jkwoo@hku.hk-
dc.identifier.authorityWoo, JK=rp01623-
dc.description.naturepostprint-
dc.identifier.doi10.1017/asb.2014.23-
dc.identifier.scopuseid_2-s2.0-84919845223-
dc.identifier.hkuros244918-
dc.identifier.volume45-
dc.identifier.spage151-
dc.identifier.epage173-
dc.identifier.eissn1783-1350-
dc.identifier.isiWOS:000347616200006-
dc.publisher.placeUK-
dc.identifier.issnl0515-0361-

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