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Some applications of sums of random variable in non-life insurance

Author

Listed:
  • Michaela Covrig

    (Department of Mathematics, Academy of Economic Studies, Bucharest, Romania)

  • Iulian Mircea

    (Department of Mathematics, Academy of Economic Studies, Bucharest, Romania)

  • Ovidiu Veghes

    (Department of Mathematics, Academy of Economic Studies, Bucharest, Romania)

  • Radu Serban

    (Department of Mathematics, Academy of Economic Studies, Bucharest, Romania)

  • Constantin Raischi

    (Department of Mathematics, Academy of Economic Studies, Bucharest, Romania)

Abstract

In the non-life insurance business, an actuary faces the problem of determining the distribution function of a sum of random variables which are not necessarily independent, like aggregate claims of an insurance portfolio. The paper points out some applications of approximating such sums when the individual distribution functions of the terms are known, but their dependence unknown.

Suggested Citation

  • Michaela Covrig & Iulian Mircea & Ovidiu Veghes & Radu Serban & Constantin Raischi, 2011. "Some applications of sums of random variable in non-life insurance," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, vol. 9(1), pages 139-151, March.
    • Handle: RePEc:sko:yrbook:v:9:y:2011:i:1:p:139-151
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