Título: New results on the distributions of discounted compound poisson sums / Zhehao Zhang
Autor: Zhang, Zhehao
Descrição física: 19 p.
Notas: Sumario: This paper focuses on the distribution of Poisson sums of discounted claims over a finite or infinite time period. It gives two new results when claim amounts follow Mittag-Leffer distributions and two new results when claim amounts follow gamma distributions. Further, as Mittag-Leffer distribution is of heavytailed nature and its moments only exist for order strictly smaller than one, this distribution can be used for modelling insurance whose claim amounts are extremely large, that is, catastrophe insurance.
Outras classificações: 6