Parameter Variability/Uncertainty

Discussion in 'CT6' started by Kunjesh Parikh, Mar 10, 2018.

  1. Kunjesh Parikh

    Kunjesh Parikh Very Active Member

    Why is it that the aggregate claim amount random variables S(i) under heterogeneous portfolio are independent, but under homogeneous portfolio not independent. In both the cases, its value depends on the value of the risk paramter. Then how?
     
  2. John Lee

    John Lee ActEd Tutor Staff Member

    The given that is simply because the parameter \(\lamda\) is varying so we need to know what it is before we can calculate anything to do with \(S_i\).
     

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