2012 | 10(16) | 69-81
Article title

Ulepszenie aproksymacji indywidualnego modelu ryzyka przez kolektywny model ryzyka

Title variants
Improving the approximation of individual risk model by the compound risk model
Languages of publication
In the individual risk model the aggregate claims distribution can be calculated by using the compound distribution. In this article two approximations will be described: the compound Poisson approximation and the compound negative binomial approximation. Using this method of calculated aggregate claims distribution, errors of approximation are made. To reduce these errors the higher order approximations can be used, which are taken from [Pits]. In this article the numerical examples, including the refinement of the compound approximation, are considered for homogeneous portfolio and for inhomogeneous portfolios with two classes.
Physical description
  • Uniwersytet Ekonomiczny we Wrocławiu
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Document Type
Publication order reference
YADDA identifier
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