On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation

Gildas Ratovomirija, Maissa Tamraz and Raluca Vernic

Insurance: Mathematics and Economics, 2017, vol. 74, issue C, 197-209

Abstract: Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov’s multivariate distribution, in this paper we present some closed-form formulas for the same topic by considering, however, a different kernel function for Sarmanov’s distribution, not previously studied in this context. The risk aggregation and capital allocation formulas are derived and numerically illustrated in the general framework of stop-loss reinsurance, and then in the particular case with no stop-loss reinsurance. A discussion of the dependency structure of the considered distribution, based on Pearson’s correlation coefficient, is also presented for different kernel functions and illustrated in the bivariate case.

Keywords: Sarmanov distribution; Mixed Erlang distribution; Capital allocation; Risk aggregation; Stop-loss reinsurance; Dependency (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:74:y:2017:i:c:p:197-209

DOI: 10.1016/j.insmatheco.2017.03.009

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