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Risk modelling with the mixed Erlang distribution

โœ Scribed by Gordon E. Willmot; X. Sheldon Lin

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
250 KB
Volume
27
Category
Article
ISSN
1524-1904

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โœฆ Synopsis

Abstract

A review of analytical and computational properties of the mixed Erlang distribution is given in the context of risk analysis. Basic distributional properties are discussed, and examples of members of the class are provided. Its use in aggregate claims, stopโ€loss analysis, and risk measures is considered, as are applications in ruin theoretic analysis of the surplus process. Statistical estimation of model parameters is then discussed. Copyright ยฉ 2010 John Wiley & Sons, Ltd.

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