On the computation of aggregate claims distributions: some new approximations

DOI10.1016/S0167-6687(98)00029-8zbMath0920.62131MaRDI QIDQ1282140

K. Appert

Publication date: 23 September 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00029-8

zbMATH Keywords

inverse Gaussian distribution; exact value; numerical calculations; approximations to F(x,t)

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62E17: Approximations to statistical distributions (nonasymptotic)

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Cites Work

• Some approximation methods for the distribution of random sums
• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian
• Edgeworth expansions with mixtures and applications
• The numerical evaluation of the aggregate claim density function via integral equations
• Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
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