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Survival Probabilities For Compound Binomial Risk Model With Discrete Phase-Type Claims
(2016)
Due to having useful properties in approximating to the otherdistributions and mathematically tractable, phase type distributions are commonly used in actuarial risk theory. Claim occurrence time and individualclaim size ...
Portfolio Optimization Of Dynamic Copula Models For Dependent Financial Data Using Change Point Approach
(2016)
In this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for ...nancial data. Determining thebest model of dependency between ...nancial data has an important role intaking ...