How to (and how not to) compute stop-loss premiums in practice

DOI10.1016/0167-6687(93)90405-EzbMath0800.62681MaRDI QIDQ1323592

Rob Kaas

Publication date: 1 June 1994

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90405-e

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

65C99: Probabilistic methods, stochastic differential equations

Related Items

Validation of positive expectation dependence, Upper and lower bounds for sums of random variables, A new method for bounding the distance between sums of independent integer-valued random variables, Recursions for the individual risk model, Approximations for stop-loss reinsurance premiums, Poisson approximation of the mixed Poisson distribution with infinitely divisible mixing law, On the dependency of risks in the individual life model, Measuring the impact of dependence between claims occurrences., Some alternatives for the individual model, Recursions for the individual model, The safest dependence structure among risks., Survival probabilities in bivariate risk models, with application to reinsurance, Validation of association, Joint probability generating function for a vector of arbitrary indicator variables, Bounds for the Distance Between the Distributions of Sums of Absolutely Continuous i.i.d. Convex-Ordered Random Variables with Applications

Cites Work

• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
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