092019 (M11, B10) Bonus in life insurance: Principles and prognoses in a Stochastic environment : Norberg R., Laboratory of Actuarial Mathematics, University of Copenhagen, Working Paper No. 142, 1996

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 91 KB
• Volume: 20
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(97)80642-7

✦ Synopsis

In this article, the authors discuss mixed exponential distributions and, more generally, scale mixtures with specific consideration the purpose of insurance modeling. Results are derived for equilibrium distributions (defined via stop-loss transforms) of mixed distributions. Some recursive relations are identified for the stop-loss transforms and moments of mixed exponential distributions. Explicit expressions are obtained for equilibrium gamma distributions with arbitrary shape parameter.