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Between the Individual and Collective Models, Revisited
Between the Individual and Collective Models, Revisited In this paper the author shows that the aggregate ... distribution of a portfolio modeled by a mix of the individual and collective models can be obtained with a ...- Authors: Francois Dufresne
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Funding
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Risk Theory with the Gamma Process
Poisson process with Poisson parameter Q(x) and individual claim amount distribution t 0 y~x P(y; x) ... Poisson process with Poisson parameter Q(0) and individual claim amount distribution O(y) P{y) --- ...- Authors: Hans U Gerber, Elias Shiu, Francois Dufresne
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods