Approximation methods for distributions of aggregate insurance losses

The distribution of aggregate claims of a portfolio has been a central topic in risk theory. The discussion has focussed on two problems: the choice of the distribution and its numerical evalution by means of an approximation. The paper describes the method of approximation by means of orthogonal polynomoales, the Edgeworth and the Esscher methods.

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Publication Details

Journal
Lietuvos matematikos rinkinys
Published
2025-02-26
DOI
https://doi.org/10.15388/lmd.1997.38240
Primary Topic
Insurance, Mortality, Demography, Risk Management
Type
article
Field-Weighted Citation Impact
0.00
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article

Approximation methods for distributions of aggregate insurance losses

Valerija Karpickaitė
Lietuvos matematikos rinkinys
Insurance, Mortality, Demography, Risk Management
article

Approximation methods for distributions of aggregate insurance losses

Valerija Karpickaitė
article en

Abstract

The distribution of aggregate claims of a portfolio has been a central topic in risk theory. The discussion has focussed on two problems: the choice of the distribution and its numerical evalution by means of an approximation. The paper describes the method of approximation by means of orthogonal polynomoales, the Edgeworth and the Esscher methods.

Lietuvos matematikos rinkinys
Kaunas University of Technology (LT)
Openalex Percentile: Top 94%
Insurance, Mortality, Demography, Risk Management
DOIOpen Access PDFOpenAlex
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Approximation methods for distributions of aggregate insurance losses — Valerija Karpickaitė · Lietuvos matematikos rinkinys (2025) | TGRS Research Map | TGRS