The Aggregate Claim amount
| Authors | |
|---|---|
| Year of publication | 2013 |
| Type | Article in Proceedings |
| Conference | Financial Mathematics in Practice II, Book of short papers |
| MU Faculty or unit | |
| Citation | |
| Field | General mathematics |
| Keywords | the aggregate claim amount;moment generating function; convolution; compound Poisson distribution |
| Description | This paper deals with a mathematical model of non-life insurance, the aggregate claim amount model. First we recall the notions of insurance, insurable risk, moment generating function and convolution. Then we present the model of aggregate claim amount and compound Poisson distribution. The final part contains a simple example of density estimation of the aggregate claim amount. |