On the computation of aggregate claims distributions: some new approximations
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Publication:1282140
DOI10.1016/S0167-6687(98)00029-8zbMath0920.62131MaRDI QIDQ1282140
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
62P05: Applications of statistics to actuarial sciences and financial mathematics
62E17: Approximations to statistical distributions (nonasymptotic)
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Cites Work
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- 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