IRIS Catalogo Istituzionale della Ricerca dell'Università degli Studi del Molise
IRIS è il Catalogo Istituzionale della Ricerca dell'Università degli Studi del Molise ed ha lo scopo di consentire la conservazione e la consultazione delle informazioni sulla produzione scientifica dell'Ateneo.
EnglishRecently, several authors in the actuarial literature have derived approximations for sums of random variables when the distributions of terms are known, but the stochastic dependence structure between them is unknown or too cumbersome to work with. The approximations obtained are bounds in the sense of convex order. In this paper, we first give an overview of the recent actuarial literature on this topic. Secondly, we derive convex lower and upper bounds for sums of Burr distributed random variables.
| Handle: | http://hdl.handle.net/11695/7989 |
| Abstract: | Recently, several authors in the actuarial literature have derived approximations for sums of random variables when the distributions of terms are known, but the stochastic dependence structure between them is unknown or too cumbersome to work with. The approximations obtained are bounds in the sense of convex order. In this paper, we first give an overview of the recent actuarial literature on this topic. Secondly, we derive convex lower and upper bounds for sums of Burr distributed random variables. |
| Titolo: | Dependency of insurance risks and the Burr distribution |
| Autori: | |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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