Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model : 074022 (M11) Waldmann K.-H., Blätter der Deutschen Gesellschaft für Versicherungsmathematik, Vol. 22, nr. 2, 1995, pp. 279–287
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 109 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0167-6687
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✦ Synopsis
Abstracts and Reviews theory, random walk, test functions, ruin probability, all kinds of continuous data. ladder height. Keywords: quantized data, risk models. c .~~ _ 074022 (Mll) Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model. M13: RUIN AND OTHER STABILITY CRITERIA 074024 (M13) Waldmann K.-H., Blatter der Deutschen Gesellschaft j?ir Versicherungsmathematik, 22, nr. 2, 1995, pp. 2 79-287.
A recursive procedure is suggested for calculating the aggregate claims distribution (stop-loss premium) in the individual life model. The method which is based on the well-known De Pril algorithm results in both a considerably reduction of the number of arithmetic operations to be carried out and the number of data to be kept at each step of iteration. The problem of underflow/overflow which may arise in case of a large number of policies is avoided by iterating in different layers and by suitably defining the transitions between adjacent layers. Thus the algorithm can be applied to a portfolio with an arbitrary number of policies.