The Stability of the Aggregate Loss Distribution
In this article we introduce the stability analysis of a compound sum: it consists of computing the standardized variation of the survival function of the sum resulting from an infinitesimal perturbation of the common distribution of the summands. Stability analysis is complementary to the classical...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-09-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/6/3/91 |