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While the topics of risk aversion and utility theory have been discussed extensively in the academic literature on risk …
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In this paper the analysis of the collective risk model assuming Erlang loss, when the claim frequency follows the discrete generalized Lindley distribu- tion, is considered. After providing some new results of this discrete model, analytical expressions for the aggregate claim size distribution...
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When modelling insurance claim count data, the actuary often observes overdispersion and an excess of zeros that may be caused by unobserved heterogeneity. A common approach to accounting for overdispersion is to consider models with some overdispersed distribution as opposed to Poisson models....
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In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...
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