Recursive formulas for aggregate claim distributions
نویسندگان
چکیده
منابع مشابه
On Ruin Probability and Aggregate Claim Representations for Pareto Claim Size Distributions
We generalize an integral representation for the ruin probability in a Crámer-Lundberg risk model with shifted (or also called US-)Pareto claim sizes, obtained by Ramsay [14], to classical Pareto(a) claim size distributions with arbitrary real values a > 1 and derive its asymptotic expansion. Furthermore an integral representation for the tail of compound sums of Pareto-distributed claims is ob...
متن کاملRecursive formulas for embedding distributions of cubic outerplanar graphs
Recently, the first author and his coauthor proved a k-order homogeneous linear recursion for the genus polynomials of any H-linear family of graphs (called path-like graph families by Mohar). Cubic outerplanar graphs are tree-like graph families. In this paper, we derive a recursive formula for the total embedding distribution of any cubic outerplanar graph. We also obtain explicit formulas fo...
متن کاملA Method ‘io Calculate Aggregate Excess Loss Distributions
The purpose of the paper is to develop a method of calculating the aggregate loss distribution of excess claims based on a formula described in the book Risk Theory by Beard, Pentikainenen, and Pesonen. This formula requires that the claim frequency distribution satisfy a certain recursive relationship. The first part of the paper shows that a claim frequency distributions of excess claims deri...
متن کاملCalculation of aggregate loss distributions
Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for the distributions typically used in operational risk. However with modern computer processing power, these distributions can be calculated virtually exactly ...
متن کاملRecursive Formulas for Welschinger Invariants of the Projective Plane
Welschinger invariants of the real projective plane can be computed via the enumeration of enriched graphs, called marked floor diagrams. By a purely combinatorial study of these objects, we establish a Caporaso-Harris type formula which allows one to compute Welschinger invariants for configurations of points with any number of complex conjugated points.
متن کاملذخیره 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: Applicationes Mathematicae
سال: 1988
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am-20-2-185-189