Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions
Sign Up to like & getrecommendations! Published in 2017 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-015-9470-7
Abstract: A numerical method to compute bivariate probability distributions from their Laplace transforms is presented. The method consists in an orthogonal projection of the probability density function with respect to a probability measure that belongs to… read more here.
Keywords: probability; approximations bivariate; polynomial approximations; bivariate aggregate ... See more keywords
Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2017.1417435
Abstract: ABSTRACT In this paper, we consider a nonstandard renewal multi-risk model where a company has n types of independent insurance contracts and each contract has some dependent claims and stochastic return. The price process of… read more here.
Keywords: risk model; discounted aggregate; aggregate claims; multi risk ... See more keywords