The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk
management and in many branches of applied probability. In this paper, we obtain analytic …

The study of the distributions of sums of dependent risks is a key topic in actuarial sciences,
risk management, reliability and in many branches of applied and theoretical probability …

The Sarmanov family of distributions can provide a good model for bivariate random
variables and it is used to model dependency in a multivariate setting with given marginals …

This paper is a follow-up of the study realized by Vernic (2014) on the aggregation of
dependent random variables joined by Sarmanov's multivariate distribution, with accent on …

In this paper we study the loss given default (LGD) of a low default portfolio (LDP), assuming
that there is weak credit contagion among the obligors. We characterize the credit contagion …

Following some recent works on risk aggregation and capital allocation for mixed Erlang
risks joined by Sarmanov's multivariate distribution, in this paper we present some closed …

We consider the tail behavior of the conditional tail expectation E (S n θ∣ S n θ> xq) when
q↑ 1. Here S n θ=∑ i= 1 n θ i X i and xq= VaR q (S n θ)= inf {y∈ R: P (S n θ⩽ y)⩾ q}. We are …

In this paper, we address the aggregation of dependent stop loss reinsurance risks where
the dependence among the ceding insurer (s) risks is governed by the Sarmanov …

In this paper, we consider Sarmanov's multivariate discrete distribution as counting
distribution in two multivariate compound models: the first model assumes different types of …

Consider an insurer who makes risk-free or risky investments and hence is exposed to both
insurance and financial risks. We investigate the interplay of the two risks in causing ruin of …