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O. Vorobyev, Lavrentiy Golovkov (2008)
Discrete multivariate distributions
E.G. Robe-Voinea, R. Vernic (2016)
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Elena-Grațiela ROBE-VOINEA, Raluca Vernic (2018)
Fast Fourier Transform for multivariate aggregate claimsComputational and Applied Mathematics, 37
Tao Jin, Jiandong Ren (2014)
Recursions and fast Fourier transforms for a new bivariate aggregate claims modelScandinavian Actuarial Journal, 2014
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Elena-Grațiela ROBE-VOINEA, Raluca Vernic (2016)
Another approach to the evaluation of a certain multivariate compound distributionAnalele Universitatii "Ovidius" Constanta - Seria Matematica, 24
B. Sundt, R. Vernic (2009)
EAA Lectures Notes
ROBE-VOINEA, Raluca Vernic (2017)
ON A MULTIVARIATE AGGREGATE CLAIMS MODEL WITH MULTIVARIATE POISSON COUNTING DISTRIBUTION
B. Sundt (1992)
On some Extensions of Panjer's Class of Counting DistributionsASTIN Bulletin, 22
In this paper, we extend to a multivariate setting the bivariate model A introduced by Jin and Ren in 2014 (Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scandinavian Actuarial Journal 8) to model insurance aggregate claims in the case when different types of claims simultaneously affect an insurance portfolio. We obtain an exact recursive formula for the probability function of the multivariate compound distribution corresponding to this model under the assumption that the conditional multivariate counting distribution (conditioned by the total number of claims) is multinomial. Our formula extends the corresponding one from Jin and Ren.
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Oct 1, 2016
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