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stat.ME2017
Aggregation of Dependent Risks in Mixtures of Exponential Distributions and Extensions
José María Sarabia, Emilio Gómez-Déniz, Faustino Prieto +1
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 anal…
stat.ME2015★ 2 cited
Risks aggregation in multivariate dependent Pareto distributions
José María Sarabia, Emilio Gómez-Déniz, Faustino Prieto +1
In this paper we obtain closed expressions for the probability distribution function, when we consider aggregated risks with multivariate dependent Pareto distributions. We work wi…