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The Mixed Bivariate Hofmann Distribution

Published online by Cambridge University Press:  29 August 2014

J.F. Walhin  and
J. Paris
J.F. Walhin*
Affiliation:
Université Catholique de Louvain Secura Belgian Re
J. Paris
Affiliation:
Université Catholique de Louvain
*
SECURA Belgian Re, Rue Montoyer 12, 1000 Bruxelles, E-mail: jfw@secura-re.com
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Abstract

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In this paper we study a class of Mixed Bivariate Poisson Distributions by extending the Hofmann Distribution from the univariate case to the bivariate case.

We show how to evaluate the bivariate aggregate claims distribution and we fit some insurance portfolios given in the literature.

This study typically extends the use of the Bivariate Independent Poisson Distribution, the Mixed Bivariate Negative Binomial and the Mixed Bivariate Poisson Inverse Gaussian Distribution.

Keywords

Mixed Bivariate Independent Poisson DistributionsHofmann Distributionmaximum likelihoodaggregate claims distributionrecursive algorithmstable algorithm

Information

Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 31 , Issue 1 , May 2001 , pp. 123 - 138
Copyright
Copyright © International Actuarial Association 2001

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