<abstract xmlns="http://www.w3.org/1999/xhtml"><p> In this work, we consider the multivariate aggregate model introduced in [11], model that takes into account the case when different types of claims affect in the same time an insurance portfolio under some specific assumptions related to the number of claims. For the probability function of the corresponding multivariate compound distribution, [11] obtained an exact recursive formula proved using the properties of the probability generating function. In this paper, we present a new shorter proof of the same formula that we also extend to a new form. Moreover, we present an alternative approximate method to evaluate the compound distribution based on the Fourier transform, and we compare both methods on a numerical example. </p></abstract>

In this work, we consider the multivariate aggregate model introduced in [11], model that takes into account the case when different types of claims affect in the same time an insurance portfolio under some specific assumptions related to the number of claims. For the probability function of the corresponding multivariate compound distribution, [11] obtained an exact recursive formula proved using the properties of the probability generating function. In this paper, we present a new shorter proof of the same formula that we also extend to a new form. Moreover, we present an alternative approximate method to evaluate the compound distribution based on the Fourier transform, and we compare both methods on a numerical example.

Another approach to the evaluation of a certain multivariate compound distribution

Analele ştiinţifice ale Universităţii "Ovidius" Constanţa. Seria Matematică

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

In this work, we consider the multivariate aggregate model introduced in [11], model that takes into account the case when different types of claims affect in...

Another approach to the evaluation of a certain multivariate compound distribution

Published Online: Sep 21, 2017

Page range: 339 - 349

Received: Aug 01, 2015

Accepted: Nov 30, 2015

DOI: https://doi.org/10.1515/auom-2016-0061

Keywords
insurance model, multivariate aggregate claims, multinomial distribution, recursions, Fast Fourier Transform.

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Another approach to the evaluation of a certain multivariate compound distribution

Published Online: Sep 21, 2017

Page range: 339 - 349

Received: Aug 01, 2015

Accepted: Nov 30, 2015

DOI: https://doi.org/10.1515/auom-2016-0061

Keywordsinsurance model, multivariate aggregate claims, multinomial distribution, recursions, Fast Fourier Transform.

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
insurance model, multivariate aggregate claims, multinomial distribution, recursions, Fast Fourier Transform.