Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42924
Title: Unconditional distributions obtained from conditional specification models with applications in risk theory
Authors: Gómez Déniz, Emilio 
Calderín Ojeda, Enrique
UNESCO Clasification: 1207 Investigación operativa
Keywords: Distribución
Issue Date: 2014
Publisher: 0346-1238
Journal: Scandinavian Actuarial Journal 
Abstract: Bivariate distributions, specified in terms of their conditional distributions, provide a powerful tool to obtain flexible distributions. These distributions play an important role in specifying the conjugate prior in certain multi-parameter Bayesian settings. In this paper, the conditional specification technique is applied to look for more flexible distributions than the traditional ones used in the actuarial literature, as the Poisson, negative binomial and others. The new specification draws inferences about parameters of interest in problems appearing in actuarial statistics. Two unconditional (discrete) distributions obtained are studied and used in the collective risk model to compute the right-tail probability of the aggregate claim size distribution. Comparisons with the compound Poisson and compound negative binomial are made
URI: http://hdl.handle.net/10553/42924
ISSN: 0346-1238
DOI: 10.1080/03461238.2012.751674
Source: Scandinavian Actuarial Journal[ISSN 0346-1238], p. 602-619
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