文章基本信息

标题：APPROXIMATION OF RANDOM SUMS OF RANDOM VARIABLES IN INSURANCE
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作者：Paweł Wlaź ; Paweł Wlaź
期刊名称：Advances in Science and Technology Research Journal
印刷版ISSN：2080-4075
电子版ISSN：2299-8624
出版年度：2014
卷号：8
期号：23
页码：88-93
DOI：10.12913/22998624.1120328
语种：English
出版社：Society of Polish Mechanical Engineers and Technicians
摘要：The paper deals with approximations of random sums. By random sum we mean a sum of random number of independent and identically distributed random variables. Distribution of this sum is called a compound distribution. The model is especially important in non-life insurance. There are many methods for approximating compound distributions, one of the most popular one is approximation with shifted gamma distribution. In this work we show an alternative way – using kernel density, Fast Fourier Transform and numerical optimization methods – for finding shifted gamma approximations and show results suggesting its superiority over classical method.
关键词：random sums;Fast Fourier Transform;shifted gamma distribution