Combining Panjer's recursion with convolution

DOI10.1016/0167-6687(89)90042-5MaRDI QIDQ1116616zbMATH OpenOpenAlexFDO

Authors A. E. van Heerwaarden, Rob Kaas, Marc J. Goovaerts

Publication date 1989

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

Full work available at URL https://doi.org/10.1016/0167-6687(89)90042-5

zbMATH Keywords

compound Poisson modelconvolutiondistribution functionnon-life portfolioPanjer's recursionstop-loss premiumstotal claimsupper bounds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

We present a model for the total claims on a non-life portfolio that is almost as attractive from the computational point of view as the compound Poisson model. Its stop-loss premiums are much better upper bounds for the exact stop-loss premiums.

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