• Title of article

    Aggregate survival probability of a portfolio with dependent subportfolios

  • Author/Authors

    Ambagaspitiya، نويسنده , , Rohana S.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2003
  • Pages
    13
  • From page
    431
  • To page
    443
  • Abstract
    In this paper we consider a portfolio in which claim inter-arrival times have multivariate gamma distribution. We consider a multivariate gamma distribution obtained by dimension reduction technique. We obtain explicit solution of the aggregate survival probability of the portfolio.
  • Keywords
    Survival probability , Multivariate gamma distributions , Dependent subportfolios
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2003
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1542610

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1542610