The Aggregate Claim amount


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Year of publication 2013
Type Article in Proceedings
Conference Financial Mathematics in Practice II, Book of short papers
MU Faculty or unit

Faculty of Science

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.

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