Moment-based approximations have been extensively analyzed over the years (see, eg,
Osogami and Harchol-Balter 2006 and references therein). A number of specific phase-type …

Risk aggregation is virtually everywhere in insurance applications. Indeed, in the vast
majority of situations insurers are interested in the properties of the sums of the risks they are …

Under the Solvency Capital Requirement (SCR) formula of European Solvency II, the
required capital for an insurer is calculated as the Value-at-Risk of the aggregate loss …

In this paper, we compare the error in several approximation methods for the cumulative
aggregate claim distribution customarily used in the collective model of insurance theory. In …

This dissertation begins with two introductory chapters to provide some relevant background
information: an introduction on the Laplace transform and an introduction on Generalized …

This paper proposes an approximation method for computing the tail probabilities of the
aggregate claims distribution when claims follow a two-parameter weighted Lindley …

This paper presents a simple approximation to the delay distributions commonly used in
traffic engineering and network planning. A key advantage of the approximation is its ability …

Este trabajo final de maestría, modalidad de profundización, consiste en la elaboración de
un problema de simulación de carteras de crédito utilizando distribuciones de probabilidad …

MASTER ACTUARIAL SCIENCE MASTERS FINAL WORK Page 1 MASTER ACTUARIAL
SCIENCE MASTERs FINAL WORK DISSERTATION USE OF THE NP-APPROXIMATION TO …