Negative claim amounts, Bessel functions, linear programming and Miller's algorithm (Q1814445)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Negative claim amounts, Bessel functions, linear programming and Miller's algorithm |
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Negative claim amounts, Bessel functions, linear programming and Miller's algorithm (English)
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25 June 1992
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The author analyzes aggregate claims distributions allowing negative claim amounts. Following \textit{B. Chan} [Trans. Soc. Actuar. 36, 171-180 (1984)] he derives a linear difference equation of infinite order, and from this he obtains some expressions involving generalized modified Bessel functions. Moroever, he proposes two approximations in the case that the aggregate claims are represented as independent differences.
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Miller's algorithm
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compound Poisson
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approximations
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stop-loss error function
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linear recursion
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individual model
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linear programming
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aggregate claims distributions
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negative claim amounts
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linear difference equation of infinite order
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generalized modified Bessel functions
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independent differences
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