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Risk Theory pp 149-167 | Cite as

The Ammeter Risk Model

  • Hanspeter Schmidli
Chapter
Part of the Springer Actuarial book series (SPACT)

Abstract

A Poisson distributed number of claims is not dispersed enough to fit real data. One therefore often uses a negative binomial distribution for models in a single period. This distribution can be constructed by mixing the Poisson parameter with a Gamma distribution. We therefore choose annually a new mixing parameter for the Cramér-Lundberg model. The asymptotic results obtained for the classical risk model can then be generalised to this more general risk model, both for small and large claims.

Copyright information

© Springer International Publishing AG, part of Springer Nature 2017

Authors and Affiliations

  1. 1.Institute of MathematicsUniversity of CologneCologneGermany

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