Related papers: Risk aggregation with FGM copulas
Building on the one-to-one relationship between generalized FGM copulas and multivariate Bernoulli distributions, we prove that the class of multivariate distributions with generalized FGM copulas is a convex polytope. Therefore, we find…
We study copula-based collective risk models when the dependence structure is defined by a Farlie-Gumbel-Morgenstern (FGM) copula. By leveraging a one-to-one correspondence between the class of FGM copulas and multivariate symmetric…
We propose an approach to construct a new family of generalized Farlie-Gumbel-Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can model moderate positive and negative dependence, cover different types of…
The key result of this paper is to characterize all the multivariate symmetric Bernoulli distributions whose sum is minimal under convex order. In doing so, we automatically characterize extremal negative dependence among Bernoulli random…
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 copula which represents a generalization of the well-known…
Copulas are a powerful tool to model dependence between the components of a random vector. One well-known class of copulas when working in two dimensions is the Farlie-GumbelMorgenstern (FGM) copula since their simple analytic shape enables…
Many types of bounded data defined on the unit interval arise naturally as ratios of the form $X/(X + Y)$. In the existing literature, the main statistical models proposed for this type of bounded data typically based on the assumption that…
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…
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 expressions for the probability density function (pdf)…
Copulas, generalized estimating equations, and generalized linear mixed models promote the analysis of grouped data where non-normal responses are correlated. Unfortunately, parameter estimation remains challenging in these three…
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-form formulas for the same topic by considering, however, a…
This paper studies convergence properties of multivariate distributions constructed by endowing empirical margins with a copula. This setting includes Latin Hypercube Sampling with dependence, also known as the Iman--Conover method. The…
In this article, a copula-based method for mixed regression models is proposed, where the conditional distribution of the response variable, given covariates, is modelled by a parametric family of continuous or discrete distributions, and…
We develop improved rearrangement algorithms to find the dependence structure that minimizes a convex function of the sum of dependent variables with given margins. We propose a new multivariate dependence measure, which can assess the…
Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for…
Quantum Monte Carlo integration (QMCI) provides a quadratic speed-up over its classical counterpart, and its applications have been investigated in various fields, including finance. This paper considers its application to risk aggregation,…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
We present new sampling methods in finite population that allow to control the joint inclusion probabilities of units and especially the spreading of sampled units in the population. They are based on the use of renewal chains and…
This paper introduces vector copulas associated with multivariate distributions with given multivariate marginals, based on the theory of measure transportation, and establishes a vector version of Sklar's theorem. The latter provides a…