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

DOI10.1007/BF02808512zbMath0563.62087MaRDI QIDQ3677023

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)

Related Items (8)

Approximations for stop-loss reinsurance premiums ⋮ The total claims amount of largest claims reinsurance treaties revisited ⋮ Recursive evaluation of aggregate claims distributions. ⋮ On the computation of the aggregate claim distribution when individual claims are inverse Gaussian ⋮ Difference equation approaches in evaluation of compound distributions ⋮ On the computation of aggregate claims distributions: some new approximations ⋮ Measuring operational risk using a mean scaled individual risk model ⋮ Rückversicherungsverträge mit ergebnisabhängiger Prämie und ihre Bewertung mit Hilfe der Gesamtschadenverteilung

Cites Work

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• Practical aspects of stop-loss calculations
• On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
• Three Classes of Univariate Discrete Distributions

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