Moment-based density approximations for aggregate losses

Tao Jin, Serge B. Provost and Jiandong Ren

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 3, 216-245

Abstract: The determination of the distribution of aggregate losses is of crucial importance for an insurer. In this paper, we propose a technique for approximating the distribution of univariate and bivariate aggregate losses, which is solely based on their moments. Accordingly, this methodology can be implemented without any specific knowledge of the claim number or size distributions. The numerical examples presented herein indicate that the proposed approach constitutes a viable alternative to the commonly used recursive and FFT methods.

Date: 2016
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DOI: 10.1080/03461238.2014.921640

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