Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model

DOI10.1007/BF02808266zbMATH Open0836.62093OpenAlexW2079072464MaRDI QIDQ4859997FDOQ4859997

Authors: Karl-Heinz Waldmann 

Publication date: 7 February 1996

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

Full work available at URL: https://doi.org/10.1007/bf02808266

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• scientific article; zbMATH DE number 4076411

zbMATH Keywords

recursive procedureportfoliostop-loss premiumaggregate claims distributionindividual life modelde Pril algorithm

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• The integrated distribution function and its application for some inventory problems with linear demand pattern, arbitrary demand distribution and without fixed ordering costs
• Improved approximations for the aggregate claims distribution of a life insurance portfolio

Cited In (6)

• Two binomial methods for evaluating the aggregate claims distribution in De Pril's individual risk model
• Comparing convolutions with Dhaene-Vandebroek and De Pril's recursions from a computational point of view
• Recursions for the individual model
• Recursive evaluation of aggregate claims distributions.
• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
• On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies

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