The stability of the aggregate loss distribution

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)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Gatto, Riccardo

Subjects:

300 Social sciences, sociology & anthropology > 360 Social problems & social services
500 Science > 510 Mathematics

ISSN:

2227-9091

Publisher:

MDPI

Language:

English

Submitter:

Riccardo Gatto

Date Deposited:

20 May 2019 12:25

Last Modified:

23 Oct 2019 22:16

Publisher DOI:

10.3390/risks6030091

BORIS DOI:

10.7892/boris.126287

URI:

https://boris.unibe.ch/id/eprint/126287

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