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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
Willmot, GEWoo, JK
Keywordscompletely monotone
compound geometric
Dickson-Hipp
equilibrium distribution
Gerber-Shiu
logarithmic series
mixed geometric
Mixed Poisson
negative binomial
Panjer recursion
shifting and truncation
stop-loss
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?
DOI: http://dx.doi.org/10.1017/asb.2013.7
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
0515-0361
2023 Impact Factor: 1.7
2023 SCImago Journal Rankings: 0.979
ISI Accession Number ID
WOS:000341996300006

 

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.subjectcompletely monotone-
dc.subjectcompound geometric-
dc.subjectDickson-Hipp-
dc.subjectequilibrium distribution-
dc.subjectGerber-Shiu-
dc.subjectlogarithmic series-
dc.subjectmixed geometric-
dc.subjectMixed Poisson-
dc.subjectnegative binomial-
dc.subjectPanjer recursion-
dc.subjectshifting and truncation-
dc.subjectstop-loss-
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.identifier.isiWOS:000341996300006-
dc.publisher.placeUnited Kingdom-
dc.identifier.issnl0515-0361-

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