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
On the distributions of two classes of multiple dependent aggregate claims
โ Scribed by Rong-ming Wang; Kam C. Yuen; Li-xing Zhu
- Book ID
- 106301230
- Publisher
- Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 2008
- Tongue
- English
- Weight
- 234 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0168-9673
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๐ SIMILAR VOLUMES
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
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