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

DOI10.1007/BF02808266MaRDI QIDQ4859997zbMATHOpenAlexFDO

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

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)

Recommendations

• On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
• On the computation of aggregate claims distributions: some new approximations
• The numerical evaluation of the aggregate claim density function via integral equations
• Two binomial methods for evaluating the aggregate claims distribution in De Pril's individual risk model
• Zur genauigkeit der approximation einer gesamtschadenverteilung durch eine zusammengesetzte poisson-verteilung
• Approximation of aggregate claims distributions by compound Poisson distributions
• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian
• Eine Verschärfung der Schranke von LeCam zur Poisson-Approximation von Gesamtschadenverteilungen im individuellen Modell
• scientific article; zbMATH DE number 4076411

Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• Improved approximations for the aggregate claims distribution of a life insurance portfolio
• The integrated distribution function and its application for some inventory problems with linear demand pattern, arbitrary demand distribution and without fixed ordering costs

Cited in

(6)

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

This page was built for publication: Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4859997)