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Recursions for the Individual Risk Model

โœ Scribed by Jan Dhaene*; Carmen Ribas; Raluca Vernic***

Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2006
Tongue
English
Weight
250 KB
Volume
22
Category
Article
ISSN
0168-9673

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๐Ÿ“œ SIMILAR VOLUMES

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โœ Jan Dhaene; Martina Vandebroek ๐Ÿ“‚ Article ๐Ÿ“… 1995 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 534 KB
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We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for computation in linear time. This efficiency is bought by the assumption that the probability generating function of the

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The paper considers several types of dependencies between the different risks of a life insurance portfolio. Each policy is assumed to have a positive face amount (or an amount at risk) during a certain reference period. The amount is due if the policy holder dies during the reference period. First,