Moment-based density approximations for aggregate losses

DOI10.1080/03461238.2014.921640MaRDI QIDQ4576966zbMATH OpenOpenAlexFDO

Authors Tao Jin, Serge B. Provost, Jiandong Ren

Publication date 11 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2014.921640

zbMATH Keywords

aggregate lossescompound distributionsdensity approximationmoment-based methods

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On moment based density approximations for aggregate losses
• On the computation of aggregate claims distributions: some new approximations
• A new method for evaluating the distribution of aggregate claims
• On the moments and distribution approximations of stochastic aggregate claims with dependence
• Polynomial approximations for bivariate aggregate claims amount probability distributions

Cites work

• Dependence measures for extreme value analyses
• scientific article; zbMATH DE number 805121 (Why is no real title available?)
• Loss Models
• Panjer recursion versus FFT for compound distributions
• Recursions for Convolutions and Compound Distributions with Insurance Applications

Cited in

(6)

• CMPH: a multivariate phase-type aggregate loss distribution
• A Bayesian motivated Laplace inversion for multivariate probability distributions
• Orthogonal polynomial expansions to evaluate stop-loss premiums
• A moment recursive formula for a class of distributions
• Polynomial approximations for bivariate aggregate claims amount probability distributions
• On moment based density approximations for aggregate losses

This page was built for publication: Moment-based density approximations for aggregate losses

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4576966)