Tail Moments of Compound Distributions. Issue 3 (26th August 2022)

• Record Type: Journal Article
• Authors: Ren, Jiandong
• Is Part Of: North American actuarial journal. Volume 26:Issue 3(2022)
• Page Start: 336
• Page End: 350
• Publication Date: 2022-08-26
• Subjects: Life insurance -- Research -- North America -- Periodicals; Actuarial science -- North America -- Periodicals; Web sites; Electronic journals; 368.010973
• DOI: 10.1080/10920277.2021.1956975
• Languages: English
• ISSNs: 2325-0453

Abstract

Abstract : In this article, we study the moment transform of both univariate and multivariate compound sums. We first derive simple explicit formulas for the first and second moment transforms when the (loss) frequency distribution is in the so-called ( a, b, 0 ) class. Then we show that the derived formulas can be used to efficiently compute risk measures such as the tail conditional expectation (TCE), the tail variance (TV), and higher tail moments. The results generalize those in Denuit ( North American Actuarial Journal, 24 (4):512–32, 2020).