On a multivariate gamma distribution

Statistics and Probability Letters

Volumn 78, Issue 15, 2008, Pages 2353-2360

  Furman, Edward ^a  

^a YORK UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 52749086166     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2008.02.012     Document Type: Article

References (14)

1. Bowers N.L., Gerber H.U., Hickman J.C., Jones D.A., and Nesbitt C.J. Actuarial Mathematics. second edition (1997), Society of Actuaries, Schaumburg
2. Chhikara R.S., and Folks J.L. The Inverse Gaussian Distributions (1989), Marcel Dekker Inc., New York
3. Furman E., and Landsman Z. Risk capital decomposition for a multivariate dependent gamma portfolio. Insurance: Mathematics and Economics 37 (2005) 635-649
4. Furman E., and Landsman Z. Tail variance premium with applications for elliptical portfolio of risks. ASTIN Bulletin 36 2 (2006) 433-462
5. Furman, E., Landsman, Z., 2007. Economic capital allocations for non-negative portfolios of dependent risks. Proceedings of the 37-th International ASTIN Colloquium, Orlando. http://www.actuaries.org/ASTIN/Colloquia/Orlando/Papers/Furman.pdf
6. Herzog T. Introduction to Credibility Theory. Second Edition (1999), Actex Publications, Winsted
7. Hossack I., Polard J., and Zehnwirth B. Introductory Statistics with Applications in General Insurance (1983), Cambridge University Press, Cambridge
8. Hürlimann W. Analytical evaluation of economic risk capital for portfolio of gamma risks. ASTIN Bulletin 31 1 (2001) 107-122
9. Hürlimann W. Multivariate Fréchet copulas and conditional value-at-risk. International Journal of Mathematics and Mathematical Sciences 7 (2004) 345-364
10. Hürlimann W. Positive dependence properties of the multivariate reduction class. Far East Journal of Theoretical Statistics 21 2 (2007) 157-169
11. Kotz S., Balakrishman N., and Johnson N.L. Continuous Multivariate Distributions (2000), John Wiley & Sons, Inc., New York
12. Mathai A.M., and Moschopoulos P.G. On a form of multivariate gamma distribution. Annals of the Institute of Statistical Mathematics 44 (1992) 97-106
13. Melnick, E.L., Tenenbein, A., 2000. Determination of the Value-at-Risk. Using approximate methods, Contingencies Magazine, July-August 2000
14. Rioux, J., Klugman, S., 2004. Toward a unified approach to fitting loss models. http://www.iowaactuariesclub.org/library