Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model
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Publication:4859997
DOI10.1007/BF02808266zbMath0836.62093MaRDI QIDQ4859997
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
portfolio; recursive procedure; stop-loss premium; aggregate claims distribution; individual life model; de Pril algorithm
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C99: Probabilistic methods, stochastic differential equations
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