A Simple Estimation of Parameters for Discrete Distributions from the Schröter Family

Friday I. Agu, Ján Mačutek, Gábor Szűcs

A Simple Estimation of Parameters for Discrete Distributions from the Schröter Family

Číslo: 2/2023
Periodikum: Statistika
DOI: 10.54694/stat.2022.42

Klíčová slova: Discrete probability distributions, Schröter recursive formula, parameter estimation, aggregate claim distribution

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Anotace: One of the common challenges in actuarial mathematics is finding a model for the number of claims and claim severity. We focus on one of the suggested models, namely, on the Schröter family of discrete probability distributions. Furthermore, we introduce a simple and easy-to-compute parameter estimate for this family of distributions, which can be used especially as initial values in optimization algorithms that are needed to compute other estimates.