Abstract
When the distribution of the number of claims in an interval of time of length t is mixed Poisson and the moments of the independent distribution of individual claim amounts are known, the moments of the distribution of aggregate claims through epoch t can be calculated (O. Lundberg, 1940, ch. V[). Several approximations to the corresponding distribution function, F(*, t), are available (see, e.g., Seal, 1969, ch. 2) and, in particular, a simple gamma (Pearson Type IIl) based on the first three moments has proved definitely superior to the widely accepted "Normal Power" approximation (Seal, 1976 ).
Volume
10:1
Page
47-53
Year
1978
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
