Some applications of sums of random variable in non-life insurance

Michaela Covrig (), Iulian Mircea (), Ovidiu Veghes (), Radu Serban () and Constantin Raischi ()
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Michaela Covrig: Department of Mathematics, Academy of Economic Studies, Bucharest, Romania
Iulian Mircea: Department of Mathematics, Academy of Economic Studies, Bucharest, Romania
Ovidiu Veghes: Department of Mathematics, Academy of Economic Studies, Bucharest, Romania
Radu Serban: Department of Mathematics, Academy of Economic Studies, Bucharest, Romania
Constantin Raischi: Department of Mathematics, Academy of Economic Studies, Bucharest, Romania

Yearbook of the Faculty of Economics and Business Administration, Sofia University, 2011, vol. 9, issue 1, 139-151

Abstract: In the non-life insurance business, an actuary faces the problem of determining the distribution function of a sum of random variables which are not necessarily independent, like aggregate claims of an insurance portfolio. The paper points out some applications of approximating such sums when the individual distribution functions of the terms are known, but their dependence unknown.

Keywords: comonotonicity; lognormal distribution; insurance premium principle; stop-loss premium. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:sko:yrbook:v:9:y:2011:i:1:p:139-151

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