Gatto, Riccardo (2018). The stability of the aggregate loss distribution. Risks, 6(3), p. 91. MDPI 10.3390/risks6030091
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In this article we introduce the stability analysis of a compound sum: it consists of computing the standardized variation of the survival function of the sum resulting from an infinitesimal perturbation of the common distribution of the summands. Stability analysis is complementary to the classical sensitivity analysis, which consists of computing the derivative of an important indicator of the model, with respect to a model parameter. We obtain a computational formula for this stability from the saddlepoint approximation. We apply the formula to the compound Poisson insurer loss with gamma individual claim amounts and to the compound geometric loss with Weibull individual claim amounts.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Gatto, Riccardo |
Subjects: |
500 Science > 510 Mathematics |
ISSN: |
2227-9091 |
Publisher: |
MDPI |
Language: |
English |
Submitter: |
Riccardo Gatto |
Date Deposited: |
20 May 2019 12:25 |
Last Modified: |
05 Dec 2022 15:26 |
Publisher DOI: |
10.3390/risks6030091 |
BORIS DOI: |
10.7892/boris.126287 |
URI: |
https://boris.unibe.ch/id/eprint/126287 |
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