A New Method for Evaulation of Bivariate Compound Poisson Distribution for Aggregate Claims


Ozel G.

GAZI UNIVERSITY JOURNAL OF SCIENCE, vol.24, no.2, pp.241-248, 2011 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 24 Issue: 2
  • Publication Date: 2011
  • Journal Name: GAZI UNIVERSITY JOURNAL OF SCIENCE
  • Journal Indexes: Emerging Sources Citation Index, Scopus
  • Page Numbers: pp.241-248

Abstract

In this paper, a bivariate compound Poisson model is proposed for calculating the aggregate claims distribution in a discrete framework and the probabilistic characteristics of this model, such as the joint probability function, joint probability generating function, correlation coefficient and covariance are derived. Then, an algorithm is prepared in Oracle database to obtain the probabilities quickly. By means of prepared algorithm some numerical examples are also given to illustrate the usage of the bivariate compound Poisson model.