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The Tail Probability of Discounted Sums of Pareto-Like Losses in Insurance

Title:

The Tail Probability of Discounted Sums of Pareto-Like Losses in Insurance

Goovaerts, Marc J. and Kaas, Rob and Laeven, Roger J.A. and Tang, Qihe and Vernic, Raluca (2005) The Tail Probability of Discounted Sums of Pareto-Like Losses in Insurance. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

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Abstract

In an insurance context, the discounted sum of losses within afinite or ifinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These independent random variables represent the amounts of losses in successive development years, while the weights represent the stochastic discount factors. In this paper, we investigate the problem of approximating the
tail probability of this weighted sum in the case when the losses have Pareto-like distributions and the discount factors are mutually dependent. We also give some simulation results.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Monograph (Technical Report)
Authors:Goovaerts, Marc J. and Kaas, Rob and Laeven, Roger J.A. and Tang, Qihe and Vernic, Raluca
Series Name:Department of Mathematics & Statistics. Technical Report No. 3/05
Corporate Authors:Concordia University. Department of Mathematics & Statistics
Institution:Concordia University
Date:August 2005
Keywords:Asymptotics; (Log)elliptical distribution; (Log)normal variance-mean mixed distribution; Pareto-like distribution; Tail probability
ID Code:6668
Deposited By:DIANE MICHAUD
Deposited On:02 Jun 2010 12:36
Last Modified:08 Dec 2010 18:22
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