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Claims on a group of policies of a certain type arise as a Poisson process with parameter 1 .
Claims on a second, independent, group of policies arise as a Poisson process with parameter 2
The aggregate claim amounts on the respective groups are denoted S 1 and S 2 . Using moment
generating functions, show that S (the sum of S 1 and S 2 ) has a compound Poisson distribution
and hence derive the Poisson parameter for S .

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  • 1. Claims on a group of policies of a certain type arise as a Poisson process with parameter 1 . Claims on a second, independent, group of policies arise as a Poisson process with parameter 2 The aggregate claim amounts on the respective groups are denoted S 1 and S 2 . Using moment generating functions, show that S (the sum of S 1 and S 2 ) has a compound Poisson distribution and hence derive the Poisson parameter for S .