Approximation methods for distributions of aggregate insurance losses
The distribution of aggregate claims of a portfolio has been a central topic in risk theory. The discussion has focussed on two problems: the choice of the distribution and its numerical evalution by means of an approximation. The paper describes the method of approximation by means of orthogonal p...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2025-02-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Online Access: | https://www.zurnalai.vu.lt/LMR/article/view/38240 |
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| _version_ | 1850270970156154880 |
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| author | Valerija Karpickaitė |
| author_facet | Valerija Karpickaitė |
| author_sort | Valerija Karpickaitė |
| collection | DOAJ |
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The distribution of aggregate claims of a portfolio has been a central topic in risk theory. The discussion has focussed on two problems: the choice of the distribution and its numerical evalution by means of an approximation. The paper describes the method of approximation by means of orthogonal polynomoales, the Edgeworth and the Esscher methods.
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| format | Article |
| id | doaj-art-6507f8bbfcb74305b205fb63c6ba7326 |
| institution | OA Journals |
| issn | 0132-2818 2335-898X |
| language | English |
| publishDate | 2025-02-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj-art-6507f8bbfcb74305b205fb63c6ba73262025-08-20T01:52:23ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2025-02-0137I10.15388/LMD.1997.38240Approximation methods for distributions of aggregate insurance losses Valerija Karpickaitė0Kaunas University of Technology The distribution of aggregate claims of a portfolio has been a central topic in risk theory. The discussion has focussed on two problems: the choice of the distribution and its numerical evalution by means of an approximation. The paper describes the method of approximation by means of orthogonal polynomoales, the Edgeworth and the Esscher methods. https://www.zurnalai.vu.lt/LMR/article/view/38240 |
| spellingShingle | Valerija Karpickaitė Approximation methods for distributions of aggregate insurance losses Lietuvos Matematikos Rinkinys |
| title | Approximation methods for distributions of aggregate insurance losses |
| title_full | Approximation methods for distributions of aggregate insurance losses |
| title_fullStr | Approximation methods for distributions of aggregate insurance losses |
| title_full_unstemmed | Approximation methods for distributions of aggregate insurance losses |
| title_short | Approximation methods for distributions of aggregate insurance losses |
| title_sort | approximation methods for distributions of aggregate insurance losses |
| url | https://www.zurnalai.vu.lt/LMR/article/view/38240 |
| work_keys_str_mv | AT valerijakarpickaite approximationmethodsfordistributionsofaggregateinsurancelosses |