CMPH: a multivariate phase-type aggregate loss distribution
We introduce a compound multivariate distribution designed for modeling insurance losses arising from different risk sources in insurance companies. The distribution is based on a discrete-time Markov Chain and generalizes the multivariate compound negative binomial distribution, which is widely use...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2017-12-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2017-0018 |