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

DOI10.1007/BF02808266zbMath0836.62093OpenAlexW2079072464MaRDI QIDQ4859997

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

portfoliorecursive procedurestop-loss premiumaggregate claims distributionindividual life modelde Pril algorithm

Mathematics Subject Classification ID

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

Related Items (1)

Recursive evaluation of aggregate claims distributions.

Cites Work

• Unnamed Item
• 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

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