Chp 19 - Aggregate Claim Distribution Models

Discussion in 'ST3' started by Deniese, Apr 6, 2007.

  1. Deniese

    Deniese Member

    Does anyone remember the easier way to calculate the skewess of the aggregate claims distribution which is used to determine the parameter values given the formula 2/a^(1/2) - i.e translated gamma.

    I remember being shown this when this topic used to be part of 106 but unfortunately i have lost the notes i made for this subject.
     
  2. Ian Senator

    Ian Senator ActEd Tutor Staff Member

    I think you're referring to "skewness is 2alpha/deltacubed"

    Or perhpas coefficient of skewness is 2/rootalpha=skewness/sigmacubed

    Or even that 2deltaY has a chi-squared distribution with 2alpha df.

    Most of this stuff is on page 12 of the Tables (but not the first bit!)
     

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