Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257997 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 43 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-31
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we discuss a generalization of the collective risk model and of Panjer's recursion. The model we consider consists of several business lines with dependent claim numbers. The distributions of the claim numbers are assumed to be Poisson mixture distributions. We let the claim causes have certain dependence structures and prove that Panjer's recursion is also applicable by finding an appropriate equivalent representation of the claim numbers. These dependence structures are of a stochastic non-negative linear nature and may also produce negative correlations between the claim causes. The consideration of risk groups also includes dependence between claim sizes. Compounding the claim causes by common distributions also keeps Panjer's recursion applicable.
Subjects: 
extended CreditRisk+
Poisson mixture distribution
dependence modelling
compound distribution
Panjer recursion
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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