Joint probability generating function for a vector of arbitrary indicator variables

Journal of Computational and Applied Mathematics

Volumn 186, Issue 1 SPEC. ISS., 2006, Pages 89-98

  Kolev, Nikolai ^a   Kolkovska, Ekaterina T ^b   López Mimbela, José Alfredo ^b  

^a UNIVERSITY OF SÃO PAULO   (Brazil)

^b CENTRO DE INVESTIGACIÓN EN MATEMÁTICAS   (Mexico)

Author keywords

Exchangeability; Indicator variables; Individual risk models; Probability generating function; Random sums

Indexed keywords

FUNCTIONS; MATHEMATICAL MODELS; RISK MANAGEMENT; VECTORS;

EXCHANGEABILITY; INDICATOR VARIABLES; INDIVIDUAL RISK MODELS; PROBABILITY GENERATING FUNCTION; RANDOM SUMS;

PROBABILITY;

EID: 26044443760     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2005.03.066     Document Type: Conference Paper

References (22)

1. R. Ambagaspitiya On the distribution of two classes of correlated aggregated claims Insur. Math. Econ. 24 1999 301 309
2. N. Bauerle, and A. Mueller Modeling and comparing dependencies in multivariate risk portfolios ASTIN Bulletin 28 1998 59 76
3. H. Cossette, P. Gaillardetz, and E. Marceau Common mixture in the individual risk model, Schweitz Aktuarver. Mitt. 2 2002 131 157
4. H. Cossette, P. Gaillardetz, E. Marceau, and J. Rioux On two dependent individual risk models Insur. Math. Econ. 30 2002 153 166
5. M. Denuit, C. Genest, and E. Marceau Stochastic bounds on sums of dependent risks Insur. Math. Econ. 25 1999 85 104
6. J. Dhaene, and M.J. Goovaerts Dependencies of risks and stop-loss order ASTIN Bull. 26 1996 201 212
7. J. Dhaene, and M.J. Goovaerts On the dependency of risks in the individual life model Insur. Math. Econ. 19 1997 243 253
8. J. Dhaene, and M. Denuit The safest dependence structure among risks Insur. Math. Econ. 25 1999 11 21
9. J. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas, and D. Vyncke The concept of comonotonicity in actuarial science and finance: theory Insur. Math. Econ. 31 2002 3 33
10. A. Edwards The meaning of the binomial distributions Nature 186 1960 1074
11. F. Ferreira, and N. Kolev Generation of exchangeable binary vectors J. Dhaene N. Kolev P. Morettin Proceedings of the First Brazilian Conference on Statistical Modelling in Insurance and Finance 2003 University Press USP São Paulo 114 117
12. H. Joe Multivariate Models and Dependence Concepts 1997 Chapman & Hall London
13. R. Kaas How to (and how not to) compute stop-loss premiums in practice Insur. Math. Econ. 13 1993 241 254
14. N. Kolev, Random sums of exchangeable variables, 2004, submitted for publication.
15. J. Klotz Statistical inference in Bernoulli trails with dependence Ann. Statist. 1 1973 373 379
16. S.A. Klugman, H.H. Panjer, and G.E. Willmot Loss Models: From Data to Decisions 1998 Wiley New York
17. H. Port Theoretical Probability for Applications 1994 Wiley New York
18. T. Rolski, H. Schmidli, V. Schmidt, and J. Teugels Stochastic Processes for Insurance and Finance 1999 Wiley New York
19. S.M. Rudolfer A Markov chain model of extra-binomial variation Biometrika 77 1990 255 264
20. J. Teugels Some representations of the multivariate Bernoulli and binomial distributions J. Multivariate Anal. 32 1990 256 268
21. Y.H. Wang Dependent random variables with independent subsets Amer. Math. Monthly 86 1979 290 292
22. S. Wang, and J. Dhaene Comonotonicity, correlation order and premium principles Insur. Math. Econ. 22 1998 235 242