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882
Predictive aggregate claims distributions
 Journal of Risk and Insurance
, 1998
"... In the collective risk model we use the objective Bayesian approach to calculate predictive aggregate claims distributions. Very often this is equivalent to the profile predictive likelihood approach, but the former is more straightforward to apply, and accordingly we use it as a pragmatic device. W ..."
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Cited by 5 (1 self)
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In the collective risk model we use the objective Bayesian approach to calculate predictive aggregate claims distributions. Very often this is equivalent to the profile predictive likelihood approach, but the former is more straightforward to apply, and accordingly we use it as a pragmatic device
Predictive Aggregate Claims Distributions
"... and in the absence of specific authorization of its membership, the American Risk and Insurance Association, Inc., does not adopt nor endorse policy affecting the insurance business except in matters of insurance education and research. The opinions expressed in works recognized or published by the ..."
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and in the absence of specific authorization of its membership, the American Risk and Insurance Association, Inc., does not adopt nor endorse policy affecting the insurance business except in matters of insurance education and research. The opinions expressed in works recognized or published by the Association do not necessarily represent the views of the Association or its members. Unless otherwise specified in a particular article, note, or communication, blanket permission is granted for free use (reproduction) of materials in this journal for classroom use only. Reproduction for other use requires the written permission of the editor. Correspondence relating to membership, advertising, business matters, and changes of address should be addressed to: The Journal
COMPOUNDING OF THE INDEPENDENT INSURANCE PORTFOLIOS AND AGGREGATE CLAIMS DISTRIBUTION
"... We present two approaches how to find the distribution law for the aggregate claims in given insurance portfolio. We assume that a book of policies is the union of disjoint classes and each of which has an aggregate distribution. The formulas for the aggregate claims for the whole book are applied t ..."
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We present two approaches how to find the distribution law for the aggregate claims in given insurance portfolio. We assume that a book of policies is the union of disjoint classes and each of which has an aggregate distribution. The formulas for the aggregate claims for the whole book are applied
AN AGGREGATE CLAIMS MODEL BETWEEN INDEPENDENCE AND COMONOTONE DEPENDENCE
"... We introduce a simple aggregate claims model, which is able to take into account a continuous range of positive dependence between independence and comonotone dependence. It is based on a multivariate extension of the oneparameter bivariate Fréchet copula, which finds a justification as follows. Th ..."
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We introduce a simple aggregate claims model, which is able to take into account a continuous range of positive dependence between independence and comonotone dependence. It is based on a multivariate extension of the oneparameter bivariate Fréchet copula, which finds a justification as follows
Asymptotic dependence of reinsurance aggregate claim amounts
, 2001
"... In this paper we study the eect of dierent dependence structures on the distribution of total losses when the reinsurer undertakes excess of loss for two or more dependent portfolios. We also study the asymptotic behaviour of the joint distribution of the reinsurance aggregate claim amounts for larg ..."
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In this paper we study the eect of dierent dependence structures on the distribution of total losses when the reinsurer undertakes excess of loss for two or more dependent portfolios. We also study the asymptotic behaviour of the joint distribution of the reinsurance aggregate claim amounts
APPROXIMATIVE EVALUATION OF THE DISTRIBUTION FUNCTION OF AGGREGATE CLAIMS t
"... ABSTRACT A formula, originally presented by HALDANE (1938) 2, for the evaluation of the distribution of aggregate claims is examined and compared with some other approaches. The idea is to apply a symmetrizing transformation to the original variable m order to make it suscepuble to be approximated ..."
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ABSTRACT A formula, originally presented by HALDANE (1938) 2, for the evaluation of the distribution of aggregate claims is examined and compared with some other approaches. The idea is to apply a symmetrizing transformation to the original variable m order to make it suscepuble to be approximated
Distribution of aggregate claims in the individual risk theory, model
 Transactions of the Society of Actuaries
, 1983
"... In this paper an algorithm is derived for computing the distribution of aggregate claims for the individual risk theory model. The procedure is an adaptation of the recursive method used in the solution of ordinary differential equations. Mathematical arguments are deliberately kept at an elementary ..."
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Cited by 12 (0 self)
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In this paper an algorithm is derived for computing the distribution of aggregate claims for the individual risk theory model. The procedure is an adaptation of the recursive method used in the solution of ordinary differential equations. Mathematical arguments are deliberately kept
On error bounds for approximations to aggregate claims distributions
 ASTIN Bulletin
, 1997
"... In the present paper we discuss error bounds for approximations to aggregate claims distributions. We consider approximations to convolutions by approximating each of the distributions and taking the convolution of these approximations. For compound distributions we consider two classes of approxim ..."
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Cited by 6 (3 self)
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In the present paper we discuss error bounds for approximations to aggregate claims distributions. We consider approximations to convolutions by approximating each of the distributions and taking the convolution of these approximations. For compound distributions we consider two classes
On ruin probability and aggregate claim representations for Pareto claim size distributions
 Insurance: Mathematics and Economics
, 2009
"... We generalize an integral representation for the ruin probability in a CrámerLundberg risk model with shifted (or also called US)Pareto claim sizes, obtained by Ramsay [14], to classical Pareto(a) claim size distributions with arbitrary real values a> 1 and derive its asymptotic expansion. Fur ..."
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Cited by 4 (2 self)
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. Furthermore an integral representation for the tail of compound sums of Paretodistributed claims is obtained and numerical illustrations of its performance in comparison to other aggregate claim approximations are provided. 1
Heavy Tails of Discounted Aggregate Claims in the Continuoustime Renewal Model
, 2007
"... We study the tail behavior of discounted aggregate claims in a continuoustime renewal model. For the case of Paretotype claims, we establish a tail asymptotic formula, which holds uniformly in time. ..."
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Cited by 5 (1 self)
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We study the tail behavior of discounted aggregate claims in a continuoustime renewal model. For the case of Paretotype claims, we establish a tail asymptotic formula, which holds uniformly in time.
Results 1  10
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