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On the distribution of a sum of correlated aggregate claims

✍ Scribed by Rohana S. Ambagaspitiya

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
246 KB
Volume
23
Category
Article
ISSN
0167-6687

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✦ Synopsis

Assume that a book of business is the union of disjoint classes of business and each of which has an aggregate distribution. The classes of business are correlated. We present necessary formulas to compute the aggregate distribution for the whole book when claim counts distribution takes a certain form. As a special case when claim counts distribution is multivariate Poisson, we show that the aggregate distribution for the whole book is compound Poisson.

πŸ“œ SIMILAR VOLUMES

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✍ Rohana S. Ambagaspitiya πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 66 KB

We consider two classes of correlated aggregate claims distributions, one with univariate claim counts and multivariate claim sizes and the other with multivariate claim counts and univariate claim sizes. We show that when the multivariate claim counts distribution takes a certain form the second cl

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✍ Yogendra P. Chaubey; JoseΒ΄ Garrido; Sonia Trudeau πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 638 KB

This paper proposes a new approximation to the aggregate claims distribution based on the inverse Gaussian (IG) distribution. It is compared to several other approximations in the literature. The IG approximation compares favorably to the well-known gamma approximation. We also propose an IG-gamma m