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

DOI10.1007/BF02808512MaRDI QIDQ3677023zbMATH OpenFDO

Authors Berthold Ströter

Publication date 1985

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

Full work available at URL https://doi.org/10.1007/BF02808512

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)

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

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