On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
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Publication:1162094
DOI10.1016/0167-6687(82)90016-6zbMath0479.62076OpenAlexW2044847199MaRDI QIDQ1162094
Publication date: 1982
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(82)90016-6
Related Items (21)
On a family of counting distributions and recursions for related compound distributions ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Recursive evaluation of aggregate claims distributions. ⋮ Recursive formulas for discrete distributions ⋮ Bounds on stop-loss premiums and ruin probabilities ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Robust newsvendor problems with compound Poisson demands ⋮ An asymptotic formula for the net premium of some reinsurance treaties ⋮ Excess of loss reinsurance with reinstatements: premium calculation and ruin probability of the cedent ⋮ Some comments on the individual risk model and multivariate extension ⋮ Securitization of motor insurance loss rate risks ⋮ Pricing formulae for derivatives in insurance using Malliavin calculus ⋮ A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model ⋮ Improved recursions for some compound Poisson distributions ⋮ Panjer recursion versus FFT for compound distributions ⋮ Numerische Berechnung von Gesamtschadenverteilungen ⋮ Arithmetization of distributions and linear goal programming ⋮ Practical aspects of stop-loss calculations ⋮ On a family of aggregate claims distributions ⋮ The numerical evaluation of the aggregate claim density function via integral equations ⋮ On recursive formulas for aggregate claims
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