In this paper, we extend the class of bivariate Sarmanov distributions by introducing some bivariate mixed Sarmanov distributions. Special attention is paid to the bivariate mixed Sarmanov distribution with Poisson marginals and, in particular, to the resulting bivariate Sarmanov distribution...

In this paper, we consider Sarmanov's multivariate discrete distribution as counting distribution in two multivariate compound models: the First model assumes different types of independent claim sizes (corresponding to, e.g., different types of insurance policies), while in the second model, we...

Starting from the question: “What is the accident risk of an insured?”, this paper considers a multivariate approach by taking into account three types of accident risks and the possible dependence between them. Driven by a real data set, we propose three trivariate Sarmanov distributions...

Based on many numerical examples, Raducan et al. (2015b) stated a conjecture that relates the order in which some nonhomogeneous claims arrive to the magnitude of the corresponding ruin probability. In that conjecture, the usual stochastic order has been considered for the claims. However, in...

Following some recent works on risk aggregation and capital allocation for mixed Erlang risks joined by Sarmanov's multivariate distribution, in this paper we present some closed-form formulas for the same topic by considering, however, a different kernel function for Sarmanov's distribution,...

This paper is a follow-up of the study realized by Vernic (2014) on the aggregation of dependent random variables joined by Sarmanov's multivariate distribution, with accent on the particular case of exponentially distributed marginals. More precisely, in this paper we present capital allocation...

Assuming the multiplicative background risk model, which has been a popular model due to its practical applicability and technical tractability, we develop a general framework for analyzing portfolio performance based on its subportfolios. Since the performance of subportfolios is easier to...

Solutions to the parameter estimation problem of the multivariate Pareto distribution of Asimit et al. (2010) are developed and exemplified numerically. Namely, a density of the aforementioned multivariate Pareto distribution with respect to a dominating measure, rather than the corresponding...

In this paper, we consider a continuous time risk process for which the claim number process extends the classical Poisson process, and the claim sizes are independent, Erlang random variables, but not necessarily identically distributed. For this process, we obtain recursive formulas that allow...