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The distribution of compound sums of Pareto distributed losses

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  • Colin Ramsay

Abstract

An expression is derived for the cumulative distribution function of , the aggregate losses in a period, where N is the random number of losses and the Xk's are independent and identically distributed. Pareto random variables. Specific expressions are derived for the two most commonly used compound models in actuarial risk theory: the compound Poisson and the compound negative binomial.

Suggested Citation

  • Colin Ramsay, 2009. "The distribution of compound sums of Pareto distributed losses," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2009(1), pages 27-37.
    • Handle: RePEc:taf:sactxx:v:2009:y:2009:i:1:p:27-37
    DOI: 10.1080/03461230802627835
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