Another approach to the evaluation of a certain multivariate compound distribution

Abstract

In this work, we consider the multivariate aggregate model introduced in [11], model that takes into account the case when different types of claims affect in the same time an insurance portfolio under some specific assumptions related to the number of claims. For the probability function of the corresponding multivariate compound distribution, [11] obtained an exact recursive formula proved using the properties of the probability generating function. In this paper, we present a new shorter proof of the same formula that we also extend to a new form. Moreover, we present an alternative approximate method to evaluate the compound distribution based on the Fourier transform, and we compare both methods on a numerical example.

Keywords

• insurance model
• multivariate aggregate claims
• multinomial distribution
• recursions
• fast fourier transform.
• 62p05
• 91b30
• 91b70