In this paper, we introduce a class of multivariate Erlang mixtures and present its desirable properties. We show that a multivariate Erlang mixture could be an ideal multivariate parametric model for insurance modeling, especially when modeling dependence is a concern. When multivariate losses...

Mixed exponential distributions are frequently used in actuarial risk modeling. Distributions obtained through mixtures allow greater flexibility in the modeling of non-life insurance loss amounts . Several research works have studied mixed exponential distributions in univariate and...

When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...