Approximations for stop-loss premiums

DOI10.1016/0167-6687(87)90013-8zbMath0624.62097OpenAlexW2053642492MaRDI QIDQ578833

Jozef L. Teugels, Gordon E. Willmot

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0167-6687(87)90013-8

zbMATH Keywords

compound distributionapproximation for stop-loss premiumscompound Poisson claim size processexponential and subexponential estimates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Ruin estimates under interest force, The adjustment function in ruin estimates under interest force, Asymptotic results for renewal risk models with risky investments, On the computation of the aggregate claim distribution when individual claims are inverse Gaussian, Limiting tail behaviour of some discrete compound distributions, The total claims distribution under inflationary conditions

Cites Work

• A renewal theorem of Blackwell type
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Approximation and estimation of some compound distributions
• Statistical properties of the generalized inverse Gaussian distribution
• On a Poisson-inverse Gaussian distribution
• A property of the generalized inverse Gaussian distribution with some applications
• Approximations for compound Poisson and Pólya processes
• Exponential estimates for the stop-loss premium
• Integral Representations and Complete Monotonicity of Various Quotients of Bessel Functions
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