In this paper, we extend to a multivariate setting the bivariate model A introduced by Jin and Ren in 2014 （Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scandinavian Actuarial Jo...In this paper, we extend to a multivariate setting the bivariate model A introduced by Jin and Ren in 2014 （Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scandinavian Actuarial Journal 8） to model insurance aggregate claims in the case when different types of claims simulta- neously affect an insurance portfolio. We obtain an exact recursive formula for the probability function of the multivariate compound distribution corresponding to this model under the assumption that the conditional multivariate counting distribution （conditioned by the total number of claims） is multinomial. Our formula extends the corresponding one from Jin and Ren.展开更多
文摘In this paper, we extend to a multivariate setting the bivariate model A introduced by Jin and Ren in 2014 （Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scandinavian Actuarial Journal 8） to model insurance aggregate claims in the case when different types of claims simulta- neously affect an insurance portfolio. We obtain an exact recursive formula for the probability function of the multivariate compound distribution corresponding to this model under the assumption that the conditional multivariate counting distribution （conditioned by the total number of claims） is multinomial. Our formula extends the corresponding one from Jin and Ren.
