The distribution of compound sums of Pareto distributed losses

DOI10.1080/03461230802627835zbMath1224.91083OpenAlexW1983265650MaRDI QIDQ3077725

Colin M. Ramsay

Publication date: 22 February 2011

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

Full work available at URL: https://doi.org/10.1080/03461230802627835

zbMATH Keywords

Pareto distributioncompound Poisson distributioncompound negative binomial distributiondistribution of aggregate losses

Mathematics Subject Classification ID

Related Items (6)

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ Risk aggregation in multivariate dependent Pareto distributions ⋮ On the efficient evaluation of ruin probabilities for completely monotone claim distributions ⋮ Unnamed Item ⋮ On ruin probability and aggregate claim representations for Pareto claim size distributions ⋮ ON SUMS OF INDEPENDENT GENERALIZED PARETO RANDOM VARIABLES WITH APPLICATIONS TO INSURANCE AND CAT BONDS

Cites Work

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• An Algorithm to Compute the Waiting Time Distribution for the M/G/1 Queue
• The Distribution of Sums of I.I.D. Pareto Random Variables with Arbitrary Shape Parameter
• Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday
• The Distribution of Sums of Certain I.I.D. Pareto Variates

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