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The total claims distribution under inflationary conditions. (English) Zbl 0679.62094
Summary: The total claims distribution over a fixed period of time with time dependent claim amounts is considered. A representation for the associated density function is found under certain conditions, including the important case with Poisson or mixed Poisson claim number processes and constant inflation. Methods of evaluation of this density are considered, and the cases with exponential claim sizes and regular variation of the tail are discussed in more detail.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
62E15 Exact distribution theory in statistics
62E99 Statistical distribution theory
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