On the computation of aggregate claims distributions: some new approximations

DOI10.1016/S0167-6687(98)00029-8zbMath0920.62131OpenAlexW2023856751MaRDI QIDQ1282140

K. Appert

Publication date: 23 September 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00029-8

zbMATH Keywords

inverse Gaussian distributionexact valuenumerical calculationsapproximations to F(x,t)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (10)

COMPARISON OF APPROXIMATIONS FOR COMPOUND POISSON PROCESSES ⋮ A risk model driven by Lévy processes ⋮ Approximations for stop-loss reinsurance premiums ⋮ Third cumulant for multivariate aggregate claim models ⋮ Forecasting aggregate claims using score‐driven time series models ⋮ Bayesian Assessment of the Distribution of Insurance Claim Counts Using Reversible Jump MCMC ⋮ Pricing catastrophe risk bonds: a mixed approximation method ⋮ Finite time ruin probabilities for tempered stable insurance risk processes ⋮ A flexible model for actuarial risks under dependence ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes

Cites Work

• Some approximation methods for the distribution of random sums
• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian
• Edgeworth expansions with mixtures and applications
• The numerical evaluation of the aggregate claim density function via integral equations
• Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
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