Multivariate Tweedie distributions and some related capital-at-risk analyses

By Edward Furman, Zinoviy Landsman. 2010

68 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2c37d7655b624b560edb2f160cd7b55412724dc3

Citations in the corpus

• Modeling Dependent Risks with Multivariate Erlang Mixtures (2009, unknown): “For the multivariate Tweedie family and its properties and applications in actuarial science, see Furman and Landsman (2010) and references therein.”
• A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (2016, unknown): “…multivariate probability law with gamma-distributed univariate margins and an additive background risk dependence structure (see, Gollier and Pratt, 1996; Tsanakas, 2008; Furman and Landsman, 2010 for applications of the additive background risk models in economics and actuarial science).”