simulation aggregate claims process

The Aggregate Claims Process SpringerLink

In the present chapter we introduce and study the aggregate claims process. We first extend the model considered so far (Section 5.1) and then establish some general results on compound distributions (Section 5.2). It turns out that aggregate claims distributions can...

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Chapter 5 Ruin Theory SCMA 470 Pages

Notes Various properties of the aggregate claims process $S(t)$ can be summarised as follows: $S(1) \sim \mathcal{CP}(\lambda, F_X(x))$ is the aggregate claims in the

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On a correlated aggregate claims model with Poisson and

2002年10月18日 In this model the two claim number processes are correlated. Claim occurrences of both classes relate to Poisson and Erlang processes. We derive explicit

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Chapter 5 Aggregate Loss Models Loss Data Analytics: Short Course

This chapter introduces probability models for describing the aggregate (total) claims that arise from a portfolio of insurance contracts. We present two standard modeling

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Chapter 5 Aggregate Loss Models Loss Data Analytics

We present two standard modeling approaches, the individual risk model and the collective risk model. Further, we discuss strategies for computing the distribution of the aggregate

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THE CALCULATION OF AGGREGATE LOSS DISTRIBUTIONS FROM

This paper discusses aggregate loss distributions from the perspective of collective risk theory. An accurate, efficient and practical algorithm is given for calculating

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Modelling the aggregate loss for insurance claims with

2019年9月2日 In addition, a Monte Carlo Expectation-Maximization (MCEM) algorithm is proposed by using a Metropolis-Hastings algorithm sampling scheme to obtain the

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Fast Fourier Transform for multivariate aggregate claims

2016年4月20日 In this paper, we presented an alternative fast method for the evaluation of the multivariate p.f. of the aggregate claims described by model . This method is based

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Modelling the aggregate loss for insurance claims with

2019年9月2日 In this paper, we propose a new model to relax the impractical independence assumption between the counts and the amounts of insurance claims,

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Transform approach for discounted aggregate claims in a

2019年9月25日 The discounted value of aggregate claims up to time t is described by $$\begin {aligned} L (t) = \sum _ {n=1}^ {N (t)} \zeta _ne^ {-\delta \nu _n}, \end

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