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Seminar on Tuesday, January 9 at 2 pm
January 9, 2018 @ 2:00 pm - 3:30 pm
Title: Panjer Recursion to evaluate total claim distribution recursively
Speaker: Dr. Abdul H. Sharif
Adjunct Professor
Mathematical Sciences Department
Central Connecticut State University, USA.
Abstract: The usual method of evaluating the distribution function of the total claims incurred in a fixed period of time, requires the computation of many convolutions of the conditional distribution of the amount of a claim given that a claim has occurred. When the expected number of claims is large, the computation can become unwieldy even with modern large-scale electronic computers. In this presentation, a recursive definition of the distribution of total claims is developed for a family of claim number distributions and arbitrary claim amount distributions. When the claim amount is discrete, the recursive definition can be used to compute the distribution of total claims without the use of convolutions. This can reduce the number of required computations by several orders of magnitude for sufficiently large portfolios.
Finally, I will discuss some current research on total claim modeling. Assuming the diversified level of the audience, the level of mathematics will be kept to probability generating function(PGF) and moment generating function (MGF).
