What is it about?
Aggregation of dependent insurance risks with mixed Erlang marginals and Sarmanov dependence structure
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Why is it important?
Exact risk capital for the whole portfolio of an insurance portfolio is derived and also the allocated capital to each business unit.
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This page is a summary of: ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS, Astin Bulletin, October 2014, Cambridge University Press,
DOI: 10.1017/asb.2014.24.
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