ACST3060: Approximations of the distribution of S within a Collective Risk Model

Week 3 content (2024) for ACST3060 and ACST8085 (Quantitative Methods for Risk Analysis):
• We show how to approximate the distribution of “S” in the Collective Risk Model with either a Normal distribution or a translated Gamma distribution.
• Numerical examples are provided to illustrate the method.
• We also use R to derive the EXACT distribution of “S” in the special case where the frequency “N” is Poisson and the severity “X” is Exponential.
(Narrated by Dr Guillaume Boglioni)