An Effective Approach for Estimating the Aggregate Loss of an Insurance Portfolio
提出一种新方法，利用索赔次数和单次索赔额的矩来估计保险组合总损失的概率分布和最大可能年损失，比现有方法更简单可靠。
If the size of the ith claim is denoted xi, and n is the number of claims, the of an insurance portfolio is the sum of n different xi's. This paper presents a new approach for estimating the probability distribution of this aggregate loss and the maximum probable yearly aggregate loss. Basically, the mean and higher-order central moments of aggregate loss can be (i) computed from the mean and higher-order central moments of n and xi; and (ii) used to estimate the various fractiles of the aggregate loss distribution. The approach is simpler and more reliable than other available approaches.