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New results on the distributions of discounted compound poisson sums

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20190019149
003  MAP
005  20190625124238.0
008  190619e20190101gbr|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20190008174‎$a‎Zhang, Zhehao
24500‎$a‎New results on the distributions of discounted compound poisson sums‎$c‎Zhehao Zhang
300  ‎$a‎19 p.
520  ‎$a‎This 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-Leffer distributions and two new results when claim amounts follow gamma distributions. Further, as Mittag-Leffer distribution is of heavytailed 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.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20090041721‎$a‎Distribución Poisson-Beta
650 4‎$0‎MAPA20080600204‎$a‎Catástrofes naturales
650 4‎$0‎MAPA20080629755‎$a‎Seguro de riesgos extraordinarios
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2019 Volumen 49 Número 1 - enero 2019 , p. 169-188