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Abstract This paper focuses on the distribution of Poisson sums of discounted claims over a finite or infinite time period. It gives two new results when claim amounts follow Mittag-Leffler… Click to show full abstract
Abstract This paper focuses on the distribution of Poisson sums of discounted claims over a finite or infinite time period. It gives two new results when claim amounts follow Mittag-Leffler distributions and two new results when claim amounts follow gamma distributions. Further, as Mittag-Leffler distribution is of heavy-tailed nature and its moments only exist for order strictly smaller than one, this distribution can be used for modelling insurance whose claim amounts are extremely large, that is, catastrophe insurance.
Keywords:
claim amounts;
new results;
results distribution;
poisson sums;
distribution
Journal Title: ASTIN Bulletin
Year Published: 2019
Link to full text (if available)
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Journal Title: ASTIN Bulletin
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!