Tail Moments of Compound Distributions

Recurso electrónico / Electronic resource
Registro MARC
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100  ‎$0‎MAPA20080653613‎$a‎Ren, Jiandong
24510‎$a‎Tail Moments of Compound Distributions‎$c‎Jiandong Ren
520  ‎$a‎In this article, we study the moment transform of both univariate and multivariate compound sums. We first derive simple explicit formulas for the first and second moment transforms when the (loss) frequency distribution is in the so-called (a,b,0) class. Then we show that the derived formulas can be used to efficiently compute risk measures such as the tail conditional expectation (TCE), the tail variance (TV), and higher tail moments. The results generalize those in Denuit (North American Actuarial Journal, 24 (4):51232, 2020).
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080620752‎$a‎Variables macro-económicas
7730 ‎$w‎MAP20077000239‎$g‎12/09/2022 Tomo 26 Número 3 - 2022 , p. 336-350‎$x‎1092-0277‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-