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1 results

  • ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS

  • Gordon E. Willmot, Jae-Kyung Woo
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 45 / Issue 1 / January 2015
    Published online by Cambridge University Press:
    23 September 2014, pp. 151-173
    Print publication:
    January 2015

  • We discuss some properties of a class of multivariate mixed Erlang distributions with different scale parameters and describes various distributional properties related to applications in insurance risk theory. Some representations involving scale mixtures, generalized Esscher transformations, higher-order equilibrium distributions, and residual lifetime distributions are derived. These results allows for the study of stop-loss moments, premium calculation, and the risk allocation problem. Finally, some results concerning minimum and maximum variables are derived and applied to pricing joint life and last survivor policies.