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On the recursive evaluation of a certain multivariate compound distribution

On the recursive evaluation of a certain multivariate compound distribution In this paper, we extend to a multivariate setting the bivariate model A introduced by Jin and Ren in 2014 (Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scandinavian Actuarial Journal 8) to model insurance aggregate claims in the case when different types of claims simultaneously affect an insurance portfolio. We obtain an exact recursive formula for the probability function of the multivariate compound distribution corresponding to this model under the assumption that the conditional multivariate counting distribution (conditioned by the total number of claims) is multinomial. Our formula extends the corresponding one from Jin and Ren. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

On the recursive evaluation of a certain multivariate compound distribution

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References (13)

Publisher
Springer Journals
Copyright
Copyright © 2016 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-016-0612-7
Publisher site
See Article on Publisher Site

Abstract

In this paper, we extend to a multivariate setting the bivariate model A introduced by Jin and Ren in 2014 (Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scandinavian Actuarial Journal 8) to model insurance aggregate claims in the case when different types of claims simultaneously affect an insurance portfolio. We obtain an exact recursive formula for the probability function of the multivariate compound distribution corresponding to this model under the assumption that the conditional multivariate counting distribution (conditioned by the total number of claims) is multinomial. Our formula extends the corresponding one from Jin and Ren.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Oct 1, 2016

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