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The Stability of the Aggregate Loss Distribution

Author

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  • Riccardo Gatto

    (Institute of Mathematical Statistics and Actuarial Science, Department of Mathematics and Statistics, University of Bern, 3012 Bern, Switzerland)

Abstract

In this article we introduce the stability analysis of a compound sum: it consists of computing the standardized variation of the survival function of the sum resulting from an infinitesimal perturbation of the common distribution of the summands. Stability analysis is complementary to the classical sensitivity analysis, which consists of computing the derivative of an important indicator of the model, with respect to a model parameter. We obtain a computational formula for this stability from the saddlepoint approximation. We apply the formula to the compound Poisson insurer loss with gamma individual claim amounts and to the compound geometric loss with Weibull individual claim amounts.

Suggested Citation

  • Riccardo Gatto, 2018. "The Stability of the Aggregate Loss Distribution," Risks, MDPI, vol. 6(3), pages 1-13, September.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:3:p:91-:d:167847
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    References listed on IDEAS

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    1. Søren Asmussen & Reuven Y. Rubinstein, 1999. "Sensitivity Analysis of Insurance Risk Models via Simulation," Management Science, INFORMS, vol. 45(8), pages 1125-1141, August.
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