307658

Calculation of the aggregate claim amount distribution using a recursive method with R and Actuar

Article

Last updated: 04 Jan 2025

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Tags

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Abstract

This study aims to compute the aggregate claim amount distribution in one of the comprehensive motor insurance companies. One major issue that actuaries face is computing the distribution of aggregate losses, where computing the aggregate claim amount distribution requires a discrete arithmetic claim amount distribution, in some numerical techniques. This paper concerning with the discretization of continuous claims amount distribution by applying four discretization methods. Then calculate the aggregate claim amount distribution by Panjer recursive technique. Also, this paper presents how to achieve this by actuar which is a software package that provides statistical science functionality to the R statistical system. This package provides also functions to discretize & compute the continuous distributions of the overall loss distribution using a variety of techniques, including methods as recursive and simulation. Results indicate the increasing importance of comprehensive motor insurance recently according to the annual statistics book of insurance last issues. Also presents that for the four discretization methods, both unbiased and rounding seem identical.

DOI

10.21608/jsst.2023.211337.1607

Keywords

aggregate claim, Collective risk model, Discretization, recursive method

Authors

First Name

دينا

Last Name

نيل

MiddleName

-

Affiliation

كلية ادارة الأعمال- جامعة حورس

Email

dtalaat@horus.edu.eg

City

-

Orcid

1111-1111-1111-1111

First Name

وائل

Last Name

فرج

MiddleName

-

Affiliation

أكاديمية المستقبل

Email

wael.ali@fa-hists.edu.eg

City

القاهرة

Orcid

1111-1111-1111-1111

Volume

24

Article Issue

2

Related Issue

41489

Issue Date

2023-04-01

Receive Date

2023-05-15

Publish Date

2023-04-01

Page Start

71

Page End

92

Print ISSN

2090-5327

Online ISSN

2682-3543

Link

https://jsst.journals.ekb.eg/article_307658.html

Detail API

https://jsst.journals.ekb.eg/service?article_code=307658

Order

307,658

Type

المقالة الأصلية

Type Code

1,048

Publication Type

Journal

Publication Title

مجلة البحوث المالية والتجارية

Publication Link

https://jsst.journals.ekb.eg/

MainTitle

Calculation of the aggregate claim amount distribution using a recursive method with R and Actuar

Details

Type

Article

Created At

24 Dec 2024