2005•Journal of Tongji UniversityRequires access

Double Parameters Compound Poisson Distribution and Its Esscher Approximation

Liu Yan

Abstract

According to the practice for aggregate claims of insurance,the double parameters compound Poisson distribution has been introduced in this paper.The properties of the double parameters com-pound Poisson distribution has been discussed.In insurance the double parameters compound Poisson distribution can be used as the distribution of aggregate claims.The Esscher approximation of the dou-ble parameter Poisson distribution is also given.

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Key concepts: Poisson distribution, Compound Poisson distribution, Zero-inflated model, Poisson binomial distribution, Distribution (mathematics), Compound Poisson process, Mathematics, Poisson regression