Random sums of exchangeable variables and actuarial applications |
| |
Authors: | Nikolai Kolev Delhi Paiva |
| |
Institution: | a Department of Statistics, IME, University of São Paulo, Rua do Matão 1010, 05508-090 São Paulo, SP, Brazil b EACH, University of São Paulo, Brazil |
| |
Abstract: | In this paper we study the accumulated claim in some fixed time period, skipping the classical assumption of mutual independence between the variables involved. Two basic models are considered: Model 1 assumes that any pair of claims are equally correlated which means that the corresponding square-integrable sequence is exchangeable one. Model 2 states that the correlations between the adjacent claims are the same. Recurrence and explicit expressions for the joint probability generating function are derived and the impact of the dependence parameter (correlation coefficient) in both models is examined. The Markov binomial distribution is obtained as a particular case under assumptions of Model 2. |
| |
Keywords: | IM10 IM11 IM12 IM52 IB90 |
本文献已被 ScienceDirect 等数据库收录! |
|