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Article: Some distributional properties of a class of counting distributions with claims analysis applications
Title | Some distributional properties of a class of counting distributions with claims analysis applications |
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Authors | |
Keywords | completely 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 Date | 2013 |
Publisher | Cambridge 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? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/184725 |
ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 0.979 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Willmot, GE | - |
dc.contributor.author | Woo, JK | - |
dc.date.accessioned | 2013-07-15T10:06:27Z | - |
dc.date.available | 2013-07-15T10:06:27Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Astin Bulletin, 2013, v. 43 n. 2, p. 189-212 | - |
dc.identifier.issn | 0515-0361 | - |
dc.identifier.uri | http://hdl.handle.net/10722/184725 | - |
dc.description.abstract | We 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.language | eng | - |
dc.publisher | Cambridge University Press. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST | - |
dc.relation.ispartof | Astin Bulletin | - |
dc.rights | Astin Bulletin. Copyright © Cambridge University Press. | - |
dc.subject | completely monotone | - |
dc.subject | compound geometric | - |
dc.subject | Dickson-Hipp | - |
dc.subject | equilibrium distribution | - |
dc.subject | Gerber-Shiu | - |
dc.subject | logarithmic series | - |
dc.subject | mixed geometric | - |
dc.subject | Mixed Poisson | - |
dc.subject | negative binomial | - |
dc.subject | Panjer recursion | - |
dc.subject | shifting and truncation | - |
dc.subject | stop-loss | - |
dc.title | Some distributional properties of a class of counting distributions with claims analysis applications | - |
dc.type | Article | - |
dc.identifier.email | Woo, JK: jkwoo@hku.hk | - |
dc.identifier.authority | Woo, JK=rp01623 | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.doi | 10.1017/asb.2013.7 | - |
dc.identifier.scopus | eid_2-s2.0-84879340141 | - |
dc.identifier.hkuros | 216598 | - |
dc.identifier.volume | 43 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 189 | - |
dc.identifier.epage | 212 | - |
dc.identifier.isi | WOS:000341996300006 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 0515-0361 | - |