Size-biased risk measures of compound sums

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<title>Size-biased risk measures of compound sums</title>
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<namePart>Denuit, Michel</namePart>
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<dateIssued encoding="marc">2020</dateIssued>
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<abstract displayLabel="Summary">The size-biased, or length-biased transform is known to be particularly useful in insurance risk measurement. The case of continuous losses has been extensively considered in the actuarial literature. Given their importance in insurance studies, this article concentrates on compound sums. The zero-augmented distributions that naturally appear in the individual model of risk theory are obtained as particular cases when the claim frequency distribution is concentrated on {0, 1}. The general results derived in this article help actuaries to understand how risk measurement proceeds because the formulas make explicit the loadings corresponding to each source of randomness. Some simple and explicit expressions are obtained when losses are modeled by independent compound Poisson sums and compound mixed Poisson sums, including the compound negative binomial sums. Extensions to correlated risks are briefly discussed in the concluding section.</abstract>
<note type="statement of responsibility">Michel Denuit</note>
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<topic>Cálculo actuarial</topic>
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<topic>Teoría del riesgo</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090041721">
<topic>Distribución Poisson-Beta</topic>
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<topic>Matemática del seguro</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>01/12/2020 Tomo 24 Número 4 - 2020 , p. 512-532</text>
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