Centro de Documentacion de Fundación MAPFRE - New results on the distributions of discounted compound poisson sums

MAP20190019149

New results on the distributions of discounted compound poisson sums / Zhehao Zhang

19 p.

Sumario: This 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2019 Volumen 49 Número 1 - enero 2019 , p. 169-188

1. Matemática del seguro . 2. Distribución Poisson-Beta . 3. Catástrofes naturales . 4. Seguro de riesgos extraordinarios .