A Simple Estimation of Parameters for Discrete Distributions from the Schröter Family

Abstract

One of the common challenges in actuarial mathematics is finding a model for the number of claims and claim severity. We focus on one of the suggested models, namely, on the Schröter family of discrete probability distributions. Furthermore, we introduce a simple and easy-to-compute parameter estimate for this family of distributions, which can be used especially as initial values in optimization algorithms that are needed to compute other estimates.

Keywords

• discrete probability distributions
• schröter recursive formula
• parameter estimation
• aggregate claim distribution