Harald Cramér and insurance mathematics : 074024 (M13) Martin-Löf A., Stockholm University, Applied Stochastic Models and Data Analysis, Volume 11, nr. 3, 1995, pp. 271–276

• Book ID: 104299507
• Publisher: Elsevier Science
• Year: 1996
• Tongue: English
• Weight: 108 KB
• Volume: 17
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(96)90054-2

✦ 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.