Approximative Evaluation of the Distribution Function of Aggregate Claims1

T. Pentikäinen

ASTIN Bulletin, 1987, vol. 17, issue 1, 15-39

Abstract: A formula, originally presented by Haldane (1938), for the evaluation of the distribution of aggregate claims is examined and compared with some other approaches. The idea is to apply a symmetrizing transformation to the original variable in order to make it susceptible to be approximated by the normal distribution.

Date: 1987
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