On the distribution of a sum of correlated aggregate claims

被引：55

作者：

Ambagaspitiya, RS ^{[1
]}

机构：

[1] Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1998年 / 23卷 / 01期

关键词：

compound Poisson distribution; correlated aggregate claims; multivariate discrete distributions; multivariate Poisson distribution;

D O I：

10.1016/S0167-6687(98)00018-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 form. As a special case when claim counts distribution is multivariate Poisson, we show that the aggregate distribution for the whole book is compound Poisson. (C) 1998 Elsevier Science B.V.

引用

页码：15 / 19

页数：5

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