- Tytuł:
- Approximation of random sums of random variables in insurance
- Autorzy:
- Wlaź, P.
- Powiązania:
- https://bibliotekanauki.pl/articles/102826.pdf
- Data publikacji:
- 2014
- Wydawca:
- Stowarzyszenie Inżynierów i Techników Mechaników Polskich
- Tematy:
-
random sum
fast Fourier transform
shifted gamma distribution - Opis:
- The paper deals with approximations of random sums. By random sum we mean a sum of random number of independent and identically distributed random variables. Distribution of this sum is called a compound distribution. The model is especially important in non-life insurance. There are many methods for approximating compound distributions, one of the most popular one is approximation with shifted gamma distribution. In this work we show an alternative way – using kernel density, Fast Fourier Transform and numerical optimization methods – for finding shifted gamma approximations and show results suggesting its superiority over classical method.
- Źródło:
-
Advances in Science and Technology. Research Journal; 2014, 8, 23; 88-93
2299-8624 - Pojawia się w:
- Advances in Science and Technology. Research Journal
- Dostawca treści:
- Biblioteka Nauki
Artykuł