𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the distributions of two classes of correlated aggregate claims

✍ Scribed by Rohana S. Ambagaspitiya

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
66 KB
Volume
24
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

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 class of multivariate compound distribution reduces to convolution of a number of compound distributions in the first class.

πŸ“œ SIMILAR VOLUMES

On the distribution of a sum of correlat
On the distribution of a sum of correlated aggregate claims
✍ Rohana S. Ambagaspitiya πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 246 KB

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 f

On the computation of aggregate claims d
On the computation of aggregate claims distributions: some new approximations
✍ 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

The Gerber–Shiu discounted penalty funct
The Gerber–Shiu discounted penalty functions for a risk model with two classes of claims
✍ Zhimin Zhang; Shuanming Li; Hu Yang πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 984 KB

In this paper, we consider the ruin problems for a risk model involving two independent classes of insurance risks. We assume that the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively. When the generalized Lundberg equation has distinct roots with posi