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Poisson superposition of insurance portfolios (λ=∑i​λi​,F=∑i​λλi​​Fi​)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Actuarial statistics Aggregate claims model
2026-10-06  0 By others on same topic  0 Discussions Create my own version
Independent claim Poisson processes of rates λi​ merge into a Poisson process of rate λ=∑i​λi​, by the Superposition theorem for Poisson point processes. The merged claim law is a mixture distribution of the individual claim laws with weights λi​/λ. Equivalently, multiplication of the individual compound-Poisson transforms produces exp(λ[∑i​(λi​/λ)Mi​(r)−1]).

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  • Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 31 / 3 / Solution

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