Moment-based density approximations for aggregate losses |
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Authors: | Tao Jin Serge B Provost Jiandong Ren |
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Institution: | 1. Department of Statistical &2. Actuarial Sciences, Western Science Centre, University of Western Ontario, London, Canada. |
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Abstract: | The determination of the distribution of aggregate losses is of crucial importance for an insurer. In this paper, we propose a technique for approximating the distribution of univariate and bivariate aggregate losses, which is solely based on their moments. Accordingly, this methodology can be implemented without any specific knowledge of the claim number or size distributions. The numerical examples presented herein indicate that the proposed approach constitutes a viable alternative to the commonly used recursive and FFT methods. |
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Keywords: | aggregate losses compound distributions moment-based methods density approximation |
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