Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

On the distributions of two classes of multiple dependent aggregate claims

On the distributions of two classes of multiple dependent aggregate claims In this paper we examine two classes of correlated aggregate claims distributions, with univariate claim counts and multivariate claim sizes. Firstly, we extend the results of Hesselager [ASTIN Bulletin, 24: 19–32(1994)] and Wang & Sobrero’s [ASTIN Bulletin, 24: 161–166 (1994)] concerning recursions for compound distributions to a multivariate situation where each claim event generates a random vector. Then we give a multivariate continuous version of recursive algorithm for calculating a family of compound distribution. Especially, to some extent, we obtain a continuous version of the corresponding results in Sundt [ASTIN Bulletin, 29: 29–45 (1999)] and Ambagaspitiya [Insurance: Mathematics and Economics, 24: 301–308 (1999)]. Finally, we give an example and show how to use the algorithm for aggregate claim distribution of first class to compute recursively the compound distribution. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

On the distributions of two classes of multiple dependent aggregate claims

Loading next page...
 
/lp/springer-journals/on-the-distributions-of-two-classes-of-multiple-dependent-aggregate-kUbbuW5Nxl

References (12)

Publisher
Springer Journals
Copyright
Copyright © 2008 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag GmbH
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-006-6178-z
Publisher site
See Article on Publisher Site

Abstract

In this paper we examine two classes of correlated aggregate claims distributions, with univariate claim counts and multivariate claim sizes. Firstly, we extend the results of Hesselager [ASTIN Bulletin, 24: 19–32(1994)] and Wang & Sobrero’s [ASTIN Bulletin, 24: 161–166 (1994)] concerning recursions for compound distributions to a multivariate situation where each claim event generates a random vector. Then we give a multivariate continuous version of recursive algorithm for calculating a family of compound distribution. Especially, to some extent, we obtain a continuous version of the corresponding results in Sundt [ASTIN Bulletin, 29: 29–45 (1999)] and Ambagaspitiya [Insurance: Mathematics and Economics, 24: 301–308 (1999)]. Finally, we give an example and show how to use the algorithm for aggregate claim distribution of first class to compute recursively the compound distribution.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Oct 12, 2008

There are no references for this article.