The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These independent random variables represent the amounts of losses in successive development years, while the weigh...

Full description

Saved in:
Bibliographic Details
Published in:Scandinavian actuarial journal 2005-11, Vol.2005 (6), p.446-461
Main Authors: Goovaerts, Marc J., Kaas, Rob, Laeven, Roger J.A., Tang, Qihe, Vernic, Raluca
Format: Article
Language:English
Subjects:
(Log)elliptical distribution
(Log)normal variance-mean mixed distribution
Actuarial science
Asymptotics
Insurance industry
Pareto optimum
Pareto-like distribution
Probability
Random variables
Simulation
Studies
Tail probability
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These independent random variables represent the amounts of losses in successive development years, while the weights represent the stochastic discount factors. In this paper, we investigate the problem of approximating the tail probability of this weighted sum in the case when the losses have Pareto-like distributions and the discount factors are mutually dependent. We also give some simulation results.
ISSN:0346-1238
1651-2030
DOI:10.1080/03461230500361943