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Asymptotic Behaviour of Compound Distributions and Stop-loss Premiums

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt
Bjørn Sundt*
Affiliation:
University of Oslo/Eidgenössische Technische Hochschule(Zürich)
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Abstract

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The paper gives some asymptotic results for the compound distribution of aggregate claims when the claim number distribution is negative binomial. The case when the claim numbers are geometrically distributed, is treated separately.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 13 , Issue 2 , December 1982 , pp. 89 - 98
Copyright
Copyright © International Actuarial Association 1982

References

REFERENCES

Feller, W. (1971). An Introduction to Probability Theory and its Applications. Vol. II (2nd. ed.): Wiley, New York.Google Scholar
Karlin, S. and Taylor, H. M. (1975). A First Course in Stochastic Processes. Academic Press: New York.Google Scholar