On a class of approximative computation methods in the individual risk model
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Publication:1333592
DOI10.1016/0167-6687(94)00011-5zbMath0805.62095OpenAlexW1967705808MaRDI QIDQ1333592
Publication date: 25 January 1995
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/118615
approximation methodsindividual risk modelrecursive methodsstop-loss premiumsaggregate claims distributionnew theoretical error bounds
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)
Related Items (24)
Recursions for Distribution Functions and Stop-Loss Transforms ⋮ Recursions for the individual model ⋮ Recursions for the individual risk model ⋮ Compound Poisson approximations for sums of 1-dependent random variables. II ⋮ Compound Poisson approximations for sums of 1-dependent random variables. I ⋮ Compound Poisson and signed compound Poisson approximations to the Markov binomial law ⋮ On two dependent individual risk models. ⋮ Recursive evaluation of aggregate claims distributions. ⋮ On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies ⋮ Approximations for sums of three-valued 1-dependent symmetric random variables ⋮ Stochastic bounds on sums of dependent risks ⋮ An expansion in the exponent for compound binomial approximations ⋮ Some comments on the individual risk model and multivariate extension ⋮ Simulating from Exchangeable Archimedean Copulas ⋮ Notes on discrete compound Poisson model with applications to risk theory ⋮ Bounds and approximations for sums of dependent log-elliptical random variables ⋮ Inequalities for the De Pril approximation to the distribution of the number of policies with claims ⋮ Measuring operational risk using a mean scaled individual risk model ⋮ The multivariate De Pril transform. ⋮ On error bounds for approximations to multivariate distributions. ⋮ On approximating distributions by approximating their De Pril transforms ⋮ A generalisation of the De Pril transform ⋮ Some results on moments and cumulants ⋮ On Approximating the Individual Risk Model
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