Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer’s Recursion
In this paper, we discuss a generalization of the collective risk model and of Panjer’s recursion. The model we consider consists of several business lines with dependent claim numbers. The distributions of the claim numbers are assumed to be Poisson mixture distributions. We let the claim causes ha...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-05-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/8/2/43 |