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Some distributional properties of a class of counting distributions with claims analysis applications
Recurso electrónico / electronic resource
Section: Articles
Title: Some distributional properties of a class of counting distributions with claims analysis applications / Gordon E. WillmotAuthor: Willmot, Gordon E. ‌
Notes: Sumario: We discuss a class of counting distributions motivated by a problem in discrete surplus analysis, and special cases of which have applications in stop-loss, discrete Tail value at risk (TVaR) and claim count modelling. Explicit formulas are developed, and the mixed Poisson case is considered in some detail. Simplifications occur for some underlying negative binomial and related models, where in some cases compound geometric distributions arise naturally. Applications to claim count and aggregate claims models are then given.Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 08/07/2013 Volumen 43 Número 2 - julio 2013 Other categories: 6
Rights: In Copyright (InC)
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