In this paper, we introduce a class of multivariate Erlang mixtures and present its desirable
properties. We show that a multivariate Erlang mixture could be an ideal multivariate …

Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working
paper, Technische Universität München] introduces a capital allocation principle where the …

A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated
and studied. The distribution is believed to allow for an adequate modeling of dependent …

Multiplicative background risk models in which the idiosyncratic risk factors are assumed to
be distributed exponentially, and the systemic risk factor has an arbitrary distribution on the …

A new multivariate distribution possessing arbitrarily parametrized and positively dependent
univariate Pareto margins is introduced. Unlike the probability law of Asimit et al.(2010), the …

Abstract The Conditional Tail Expectation (CTE), also known as the Expected Shortfall and
Tail-VaR, has received much attention as a preferred risk measure in finance and insurance …

We discuss some properties of a class of multivariate mixed Erlang distributions with
different scale parameters and describes various distributional properties related to …

In this paper, we address risk aggregation and capital allocation problems in the presence of
dependence between risks. The dependence structure is defined by a mixed Bernstein …

This article proposes a framework for determining credibility premiums for multiple
coverages in a compound risk model with Tweedie distribution. The framework builds upon …

The size-biased, or length-biased transform is known to be particularly useful in insurance
risk measurement. The case of continuous losses has been extensively considered in the …