Recursions for the individual risk model

DOI10.1007/s10255-006-0329-0zbMath1104.62112OpenAlexW2062877076MaRDI QIDQ861402

Carmen Ribas, Raluca Vernic, Jan Dhaene

Publication date: 29 January 2007

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-006-0329-0

zbMATH Keywords

computational effort

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

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Bivariate Bernoulli weighted sums and distribution of single-period tontine benefits ⋮ On the recursive evaluation of a certain multivariate compound distribution ⋮ Waveform relaxation for fractional sub-diffusion equations ⋮ Inequalities for the De Pril approximation to the distribution of the number of policies with claims

Cites Work

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• Error bounds for the compound Poisson approximation
• Approximation of aggregate claims distributions by compound Poisson distributions
• How to (and how not to) compute stop-loss premiums in practice
• On a class of approximative computation methods in the individual risk model
• Recursive evaluation of aggregate claims distributions.
• On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
• The multivariate De Pril transform.
• On error bounds for approximations to multivariate distributions.
• Recursions for the individual model
• Improved approximations for the aggregate claims distribution of a life insurance portfolio
• On approximating distributions by approximating their De Pril transforms
• A generalisation of the De Pril transform
• Some results on moments and cumulants
• Recursions for Distribution Functions and Stop-Loss Transforms

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