ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS

被引：23
|
作者：
Willmot, Gordon E. [1 ]
Woo, Jae-Kyung [2 ]
机构：
[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada
[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
来源：
ASTIN BULLETIN | 2015年 / 45卷 / 01期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Multivariate mixed Erlang; scale mixtures; generalized Esscher transformation; stop-loss moments; residual lifetime distribution; risk measures; capital allocation; joint and last survivor; CAPITAL ALLOCATION; RISK MODEL; DISTRIBUTIONS; PREMIUM;
D O I：
10.1017/asb.2014.23
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：151 / 173
页数：23
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