Recursions for the individual model

DOI10.1016/0167-6687(94)00029-EMaRDI QIDQ1902623zbMATH OpenOpenAlexWikidataFDO

Authors J. Dhaene, M. Vandebroek

Publication date 7 January 1996

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(94)00029-e

zbMATH Keywords

efficiencyrecursion formulaaggregate claims distributionindividual life modelarbitrary claim amount distributions

Mathematics Subject Classification ID

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

Recommendations

• Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model
• Recursions for the individual risk model
• On a class of approximative computation methods in the individual risk model
• Comparing convolutions with Dhaene-Vandebroek and De Pril's recursions from a computational point of view
• Some comments on the individual risk model and multivariate extension

Cites work

• Error bounds for the compound Poisson approximation
• How to (and how not to) compute stop-loss premiums in practice
• Improved approximations for the aggregate claims distribution of a life insurance portfolio
• On a class of approximative computation methods in the individual risk model

Cited in

(19)

• Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
• Simple Models for Recursive Schemes
• On two dependent individual risk models.
• scientific article; zbMATH DE number 7434531 (Why is no real title available?)
• Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
• On the use of the multivariate stochastic order in risk theory
• Recursions for the individual risk model
• Stochastic bounds on sums of dependent risks
• 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
• Bounds and approximations for sums of dependent log-elliptical random variables
• Some comments on the individual risk model and multivariate extension
• scientific article; zbMATH DE number 599629 (Why is no real title available?)
• Some alternatives for the individual model
• Bivariate Bernoulli weighted sums and distribution of single-period tontine benefits
• On the optimality of proportional reinsurance
• Two binomial methods for evaluating the aggregate claims distribution in De Pril's individual risk model
• Simulating from Exchangeable Archimedean Copulas

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