Titlebook: Lundberg Approximations for Compound Distributions with Insurance Applications; Gordon E. Willmot,X. Sheldon Lin Book 2001 Springer Scienc

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Lundberg Approximations for Compound Distributions with Insurance Applications

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Reliability background,993, 1994) for more details. Applications of classification of life distributions have been found in insurance and actuarial science. In particular, these distributions have been used to classify claim size distributions as well as the number of claims distribution in insurance portfolio management.

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Defective renewal equations,cations are available for compound geometric tails, and (iii) there exists a satisfactory approximation to compound geometric tails. These desirable properties are discussed in chapters 7 and 8. Motivated by the fact that a compound geometric distribution may be viewed as the solution of a special d

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The severity of ruin,ure representation becomes evident when an explicit expression for the conditional distribution is derived in the special case when the claim amount distribution is an Erlang mixture or a general Erlang mixture. The approach of this chapter follows that of Willmot and Lin (1998) and Willmot (2000).

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Book 2001n Willmot and Lin (1994), followed by the nonexpo­ nential generalization in Willmot (1994). Other related work on approximations for compound distributions and applications to various problems in insurance in particular and applied probability in general is also discussed in subsequent chapters. Th

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