Recursions for the individual model

DOI10.1016/0167-6687(94)00029-EzbMath0837.62085OpenAlexW2023362818WikidataQ126781726 ScholiaQ126781726MaRDI QIDQ1902623

Jan Dhaene, Martina 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

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

Related Items (13)

Recursions for the individual risk model ⋮ On two dependent individual risk models. ⋮ Recursive evaluation of aggregate claims distributions. ⋮ On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies ⋮ Stochastic bounds on sums of dependent risks ⋮ Bivariate Bernoulli weighted sums and distribution of single-period tontine benefits ⋮ Some comments on the individual risk model and multivariate extension ⋮ On the use of the multivariate stochastic order in risk theory ⋮ Simulating from Exchangeable Archimedean Copulas ⋮ Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios ⋮ On the optimality of proportional reinsurance ⋮ SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES ⋮ Bounds and approximations for sums of dependent log-elliptical random variables

Cites Work

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

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