On the distribution of a sum of correlated aggregate claims

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 f...

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Veröffentlicht in:	Insurance, mathematics & economics mathematics & economics, 1998-10, Vol.23 (1), p.15-19
1. Verfasser:	Ambagaspitiya, Rohana S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Compound Poisson distribution Correlated aggregate claims Correlation Distribution Insurance claims Mathematical economics Mathematical models Modelling Multivariate analysis Multivariate discrete distributions Multivariate Poisson distribution Studies
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description	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.
doi_str_mv	10.1016/S0167-6687(98)00018-3
format	Article
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subjects	Compound Poisson distribution Correlated aggregate claims Correlation Distribution Insurance claims Mathematical economics Mathematical models Modelling Multivariate analysis Multivariate discrete distributions Multivariate Poisson distribution Studies
title	On the distribution of a sum of correlated aggregate claims
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