Applications of the classical compound Poisson model with claim sizes following a compound distribution

نویسندگان

چکیده

In this paper, we discuss a generalization of the classical compound Poisson model with claim sizes following distribution. As applications, consider models involving zero-truncated geometric, negative-binomial and binomial batch-claim arrivals. We also provide some ruin-related quantities under resulting risk models. Finally, through numerical examples, visualize behavior these quantities.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

On the Compound Poisson Distribution

exist. We shall prove that under certain conditions we obtain (1) as a limit distribution of double sequences of independent and infinitesimal random variables and apply this theorem to stochastic processes with independent increments. Theorem 1 Let ξn1, ξn2, . . . , ξnkn (n = 1, 2, . . .) be a double sequence of random variables. Suppose that the random variables in each row are independent, t...

متن کامل

On the compound Poisson-gamma distribution

The compound Poisson-gamma variable is the sum of a random sample from a gamma distribution with sample size an independent Poisson random variable. It has received wide ranging applications. In this note, we give an account of its mathematical properties including estimation procedures by the methods of moments and maximum likelihood. Most of the properties given are hitherto unknown.

متن کامل

Evaluating the Bivariate Compound Generalized Poisson Distribution

This paper presents a method for the evaluation of the compound Generalized Poisson distribution, based on the recursive evaluation of two other distributions.

متن کامل

The perturbed compound Poisson risk model with two-sided jumps

In this paper, we consider a perturbed compound Poisson risk model with two-sided jumps. The downward jumps represent the claims following an arbitrary distribution, while the upward jumps are also allowed to represent the random gains. Assuming that the density function of the upward jumps has a rational Laplace transform, the Laplace transforms and defective renewal equations for the discount...

متن کامل

Claims Reserving Using Tweedie’s Compound Poisson Model

We consider the problem of claims reserving and estimating run-off triangles. We generalize the gamma cell distributions model which leads to Tweedie’s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear models (see Jørgensen-de Souza [2] and Smyth-Jørgensen [8]). We show that these methods lead to reaso...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Probability in the Engineering and Informational Sciences

سال: 2022

ISSN: ['1469-8951', '0269-9648']

DOI: https://doi.org/10.1017/s0269964822000195