We discuss how to fit mixtures of Erlangs to censored and truncated data by iteratively using
the EM algorithm. Mixtures of Erlangs form a very versatile, yet analytically tractable, class of …

In risk analysis, a global fit that appropriately captures the body and the tail of the distribution
of losses is essential. Modelling the whole range of the losses using a standard distribution …

In this paper, we investigate risk aggregation and capital allocation problems for a portfolio
of possibly dependent risks whose multivariate distribution is defined with the Farlie …

An essential resource for constructing and analyzing advanced actuarial models Loss
Models: Further Topics presents extended coverage of modeling through the use of tools …

In this paper, we consider a portfolio of n dependent risks X1,…, Xn and we study the
stochastic behavior of the aggregate claim amount S= X1+⋯+ Xn. Our objective is to …

We discuss some properties of a class of multivariate mixed Erlang distributions with
different scale parameters and describes various distributional properties related to …

The Erlang mixture model with common scale parameter is flexible and analytically
tractable. As such, it is a useful model to fit insurance loss data and to calculate quantities of …

Drawdowns measuring the decline in value from the historical running maxima over a given
period of time are considered as extremal events from the standpoint of risk management …

Recent research into the nature of the distribution of the time of ruin in some Sparre
Andersen risk models has resulted in series expansions for the associated density function …

In actuarial science, collective risk models, in which the aggregate claim amount of a
portfolio is defined in terms of random sums, play a crucial role. In these models, it is …