Zależny, złożony proces Poissona – wyznaczanie składek ubezpieczeniowych

• Authors: Heilpern Stanisław

Title variants

EN

Dependent compound poisson Process – insurance premium determination

• Languages of publication: PL EN

Abstracts

EN

The paper is devoted to the dependent compound Poisson process. The de-pendence of the interclaim times and the neighbouring claim amount is allowed in this process. The dependent structure is described by the Spearman copula. The values of the basic insurance premiums based on the moments of discounted aggregated claim are determined. The values of two first moments and insurance premiums where the claims are exponentially and Pareto distributed are derived.

Keywords

EN

compound Poisson process; dependence; copula; insurance premium

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Śląski Przegląd Statystyczny
• Year: 2014
• Issue: 12(18)
• Pages: 195-208

Contributors

author

Heilpern Stanisław

References

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