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Asymptotics of conditional moments of the summand in Poisson compounds

Part of: Operations research and management science Distribution theory

Published online by Cambridge University Press:  14 July 2016

Tomasz Rolski  and
Agata Tomanek
Tomasz Rolski
Affiliation:
University of Wrocław, Mathematical Institute, University of Wrocław, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland. Email address: tomasz.rolski@math.uni.wroc.pl
Agata Tomanek
Affiliation:
University of Wrocław, Mathematical Institute, University of Wrocław, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland. Email address: agata.tomanek@math.uni.wroc.pl
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Abstract

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Suppose that N is a ℤ+-valued random variable and that X,X 1,X 2,… is a sequence of independent and identically distributed ℤ+ random variables independent of N. In this paper we are interested in properties of the conditional variable In particular, we want to know the asymptotic behavior of the conditional mean EN k or the conditional variance varN k as k→∞. We consider the cases when X is Poisson and when X is mixed Poisson. The problem is motivated by modeling loss reserves in nonlife insurance.

Keywords

Compound Poissonconditional expectationloss reserving

MSC classification

Primary: 62E20: Asymptotic distribution theory
Secondary: 90B30: Production models

Information

Type
Part 1. Risk Theory
Information
Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 65 - 76
Copyright
Copyright © Applied Probability Trust 2011 

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