Between the individual and the collective models, revisited

Détails

ID Serval
serval:BIB_24769
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Between the individual and the collective models, revisited
Périodique
HEC/Unil
Auteur(s)
Dufresne F.
Statut éditorial
Publié
Date de publication
2002
Pages
NA
Langue
anglais
Résumé
We show that the aggregate claims distribution of a portfolio modelled by a mix of the individual and collective models can be obtained with a single recursion (under some conditions). This seems to have gone unnoticed in the literature. In fact, it is an application of “De Pril transforms”, an appellation introduced by Sundt (1992). We discuss why the collective model is not necessarily an approximation of the individual model in the context of pension funds, for example. An application to a Swiss pension fund is presented. This paper is practical and pedagogical in nature.

Mots-clé
Individual model, Collective model, Recursion, Aggregate claims distribution, De Pril transform, Kornya’s approximation.
Création de la notice
19/11/2007 10:49
Dernière modification de la notice
20/08/2019 14:02
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