approximation of random sums of random variables in insurance
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ID: 128360
2014
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Abstract
The paper deals with approximations of random sums. By random sum we mean a sum of random number of independent and identically distributed random variables. Distribution of this sum is called a compound distribution. The model is especially important in non-life insurance. There are many methods for approximating compound distributions, one of the most popular one is approximation with shifted gamma distribution. In this work we show an alternative way – using kernel density, Fast Fourier Transform and numerical optimization methods – for finding shifted gamma approximations and show results suggesting its superiority over classical method.
| Reference Key |
wla2014advancesapproximation
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|---|---|
| Authors | ;Paweł Wlaź |
| Journal | electrochemistry communications |
| Year | 2014 |
| DOI |
10.12913/22998624.1120328
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| URL | |
| Keywords | Keywords not found |
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