The Applicability of the Stable Laws in Collective Risk Theory and Practice.
Abstract
This paper examines the potential applicability of the stable laws to collective risk theory and practice. The applicability is indirect: it centers on the use of a generalized central limit theorem. If partial sums of losses behave in essentially the same way as complete sums of losses then the stable laws will be useful in the collective risk setting; if partial sums of losses do not behave in essentially the same way as complete sums then the stable laws will not only not be useful in a a collective risk setting, but may also be misleading. The overall conclusion is that the stable laws generally can be useful in collective risk settings but that they cannot be used universally and non-discriminantly. Keywords: Algorithm; Case studies; Parametric distribution.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1986
- Accession Number
- ADA178546
Entities
People
- A. S. Paulson
- G. W. Ulseth
- R. A. Derrig
- R. V. Deekshit