On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula

By Hélène Cossette, É. Marceau, Fouad Marri. 2008

143 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1512e0c2178354caa9b1f49371a4a5946887a05f

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In Demography

In Finance

In Management Science and Operations Research

Citations in the corpus

Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models (2010, unknown): “Cossette et al. (2008) also used K(t) = 1 − e−λt , but with Pt(y) = C(P(y), 1 − e−λt)/(1 − e−λt), where C(u, v) is a generalized Farlie–Gumbel–Morgenstern copula.”
The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks (2011, methodology): “We refer the reader to Kotz et al. (2000) for a general account on FGM distribution functions, and to Tang and Vernic (2007) and Cossette et al. (2008) for applications of FGM distribution functions to risk theory.”
Dependent Risk Models with Bivariate Phase-Type Distributions (2009, background): “Risk models of this type have been proposed in Albrecher and Teugels (2006), Boudreault et al. (2006), and Cossette et al. (2008), among others.”
Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation (2013, unknown): “In risk theory, Cossette et al. (2008), Zhang and Yang (2011) and Chadjiconstantinidis and Vrontos (2012) consider risk models with a dependence structure between claim sizes and interclaim times based on the FGM copula.”
The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables (2010, methodology): “…and great flexibility of adjusting dependence strength, this family of multivariate distributions is often used in modelling dependent investment returns in finance or dependent claim sizes in insurance; see, for example, Tang and Vernic (2007) and Cossette et al. (2008), among many others.”
Regret in the Newsvendor Model with Demand and Yield Randomness (2021, background): “The demand and yield dependency is characterized through the Farlie – Gumbel – Morgenstern (FGM) copula (Cossette et al. 2008), which, given uniform marginals ~ u ∼  ½ u , (cid:2) u (cid”