Approximation of random sums of random variables in insurance

• Autorzy: Wlaź P.
• Języki publikacji: EN

Abstrakty

EN

The paper deals with approximations of random sums. By random sum we mean a sum of random number of independent and identically distributed random variables. Distribution of this sum is called a compound distribution. The model is especially important in non-life insurance. There are many methods for approximating compound distributions, one of the most popular one is approximation with shifted gamma distribution. In this work we show an alternative way – using kernel density, Fast Fourier Transform and numerical optimization methods – for finding shifted gamma approximations and show results suggesting its superiority over classical method.

Słowa kluczowe

EN

random sum; fast Fourier transform; shifted gamma distribution

• Wydawca: Lublin University of Technology ; Polish Society of Ecological Engineering (PTIE), Branch of PTIE in Lublin
• Czasopismo: Advances in Science and Technology. Research Journal
• Rocznik: 2014
• Tom: Vol. 8, nr 23
• Strony: 88--93
• Opis fizyczny: Bibliogr. 12 poz., fig., tab.

Twórcy

autor

Wlaź P.

• Department of Applied Mathematics, Lublin University of Technology, Nadbystrzycka 38, 20-618 Lublin, Poland

Bibliografia

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