Correlation Study between Individual Risk Models and Collective Risk Models for a Single Period

摘要

It is proved that the Individual Risk Models for a Single Period are equivalent to the Collective Risk Models for a Single Period when the number-of-claim random variable has 0-1 distribution. Furthermore, the Individual Risk Model is close to a compound Poisson distribution when the number-of-claim random variable has a Poisson distribution with small parameter. Applying the Panjer Iteration as calculation tool, the paper provides a novel solution to the problem for random variable calculating distribution of aggregate claims.