The numerical evaluation of the aggregate claim density function via integral equations

DOI10.1007/BF02808512MaRDI QIDQ3677023zbMATHFDO

Authors Berthold Ströter

Publication date 1985

Published in Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

error analysisaggregate claim density

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for integral equations (65R20) Volterra integral equations (45D05)

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Cites work

• scientific article; zbMATH DE number 3125948 (Why is no real title available?)
• scientific article; zbMATH DE number 3581570 (Why is no real title available?)
• scientific article; zbMATH DE number 3240705 (Why is no real title available?)
• scientific article; zbMATH DE number 3251312 (Why is no real title available?)
• scientific article; zbMATH DE number 3279676 (Why is no real title available?)
• scientific article; zbMATH DE number 3346026 (Why is no real title available?)
• On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
• Practical aspects of stop-loss calculations
• Three Classes of Univariate Discrete Distributions

Cited in

(12)

• Approximations for stop-loss reinsurance premiums
• The total claims amount of largest claims reinsurance treaties revisited
• On the computation of aggregate claims distributions: some new approximations
• Measuring operational risk using a mean scaled individual risk model
• Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model
• Recursive evaluation of aggregate claims distributions.
• Integral equations for the aggregate claim amount
• Computation of the Aggregate Claim Amount Distribution Using R and Actuar
• Difference equation approaches in evaluation of compound distributions
• Rückversicherungsverträge mit ergebnisabhängiger Prämie und ihre Bewertung mit Hilfe der Gesamtschadenverteilung
• Volterra integral equations: an approach based on Lipschitz-continuity
• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian

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