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Article: Some distributional properties of a class of counting distributions with claims analysis applications

TitleSome distributional properties of a class of counting distributions with claims analysis applications
Authors
Issue Date2013
PublisherCambridge University Press. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST
Citation
Astin Bulletin, 2013, v. 43 n. 2, p. 189-212 How to Cite?
AbstractWe discuss a class of counting distributions motivated by a problem in discrete surplus analysis, and special cases of which have applications in stop-loss, discrete Tail value at risk (TVaR) and claim count modelling. Explicit formulas are developed, and the mixed Poisson case is considered in some detail. Simplifications occur for some underlying negative binomial and related models, where in some cases compound geometric distributions arise naturally. Applications to claim count and aggregate claims models are then given.
Persistent Identifierhttp://hdl.handle.net/10722/184725
ISSN
2015 Impact Factor: 0.732
2015 SCImago Journal Rankings: 0.979

 

DC FieldValueLanguage
dc.contributor.authorWillmot, GE-
dc.contributor.authorWoo, JK-
dc.date.accessioned2013-07-15T10:06:27Z-
dc.date.available2013-07-15T10:06:27Z-
dc.date.issued2013-
dc.identifier.citationAstin Bulletin, 2013, v. 43 n. 2, p. 189-212-
dc.identifier.issn0515-0361-
dc.identifier.urihttp://hdl.handle.net/10722/184725-
dc.description.abstractWe discuss a class of counting distributions motivated by a problem in discrete surplus analysis, and special cases of which have applications in stop-loss, discrete Tail value at risk (TVaR) and claim count modelling. Explicit formulas are developed, and the mixed Poisson case is considered in some detail. Simplifications occur for some underlying negative binomial and related models, where in some cases compound geometric distributions arise naturally. Applications to claim count and aggregate claims models are then given.-
dc.languageeng-
dc.publisherCambridge University Press. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST-
dc.relation.ispartofAstin Bulletin-
dc.rightsAstin Bulletin. Copyright © Cambridge University Press.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleSome distributional properties of a class of counting distributions with claims analysis applications-
dc.typeArticle-
dc.identifier.emailWoo, JK: jkwoo@hku.hk-
dc.identifier.authorityWoo, JK=rp01623-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1017/asb.2013.7-
dc.identifier.scopuseid_2-s2.0-84879340141-
dc.identifier.hkuros216598-
dc.identifier.volume43-
dc.identifier.issue2-
dc.identifier.spage189-
dc.identifier.epage212-
dc.publisher.placeUnited Kingdom-

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