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Decompounding random sums: a nonparametric approach

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  • Martin Bøgsted
  • Susan Pitts

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  • Martin Bøgsted & Susan Pitts, 2010. "Decompounding random sums: a nonparametric approach," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(5), pages 855-872, October.
    • Handle: RePEc:spr:aistmt:v:62:y:2010:i:5:p:855-872
    DOI: 10.1007/s10463-008-0200-6
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    References listed on IDEAS

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    1. Ruohonen, Matti, 1988. "On A Model for the Claim Number Process," ASTIN Bulletin, Cambridge University Press, vol. 18(1), pages 57-68, April.
    2. Boris Buchmann & Rudolf Grübel, 2004. "Decompounding poisson random sums: Recursively truncated estimates in the discrete case," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(4), pages 743-756, December.
    3. Dickson,David C. M., 2005. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9780521846400.
    4. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
    5. Peter Hall & Juhyun Park, 2004. "Nonparametric inference about service time distribution from indirect measurements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(4), pages 861-875, November.
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    Cited by:

    1. Pierre-Olivier Goffard & Patrick Laub, 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Working Papers hal-02891046, HAL.
    2. Fabienne Comte & Celine Duval & Valentine Genon-Catalot & Johanna Kappus, 2015. "Estimation of the Jump Size Density in a Mixed Compound Poisson Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 1023-1044, December.
    3. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Maxentropic approach to decompound aggregate risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 326-336.

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