On the computation of aggregate claims distributions: some new approximations

This paper proposes a new approximation to the aggregate claims distribution based on the inverse Gaussian (IG) distribution. It is compared to several other approximations in the literature. The IG approximation compares favorably to the well-known gamma approximation. We also propose an IG-gamma m...

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Bibliographic Details
Published in:Insurance, mathematics & economics mathematics & economics, 1998-12, Vol.23 (3), p.215-230
Main Authors: Chaubey, Yogendra P., Garrido, Jose´, Trudeau, Sonia
Format: Article
Language:English
Subjects:
Approximation
Approximations to F(x, t)
Comparative analysis
Distribution
Estimating techniques
Exact value
Insurance
Insurance claims
Inverse Gaussian distribution
Mathematical economics
Numerical calculations
Statistical analysis
Studies
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Summary:This paper proposes a new approximation to the aggregate claims distribution based on the inverse Gaussian (IG) distribution. It is compared to several other approximations in the literature. The IG approximation compares favorably to the well-known gamma approximation. We also propose an IG-gamma mixture that approximates the true distribution extremely accurately, in a large variety of situations.
ISSN:0167-6687
1873-5959
DOI:10.1016/S0167-6687(98)00029-8