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The distribution of aggregate claims

✍ Scribed by Christoph Haehling von Lanzenauer; Don Wright

Book ID
112898367
Publisher
Springer-Verlag
Year
1975
Tongue
German
Weight
482 KB
Volume
12
Category
Article
ISSN
1864-0281

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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 distributions of two classes of c
On the distributions of two classes of correlated aggregate claims
✍ 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

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