Article: article from journal or magazin.
Between the individual and the collective models, revisited
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.
Individual model, Collective model, Recursion, Aggregate claims distribution, De Pril transform, Kornya’s approximation.
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