Možnosti aproximace rozdělení kolektivního rizika

Abstract

The probability of a claim and the amount paid out in most short term nonlife instance contracts is hard to predict. This article presents some mathematical/statistical techniques that allow finding the compound distribution of aggregate claims by combining the frequency of claims with the distribution of the amounts paid out on individual claims. The algorithm for exact expressions and calculating of the distribution of S is often too complicated in practical use. A quick approximation to the distribution of S can prove very useful and in many situations may be used.