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The Aggregate Claims Distribution in the Individual Model with Arbitrary Positive Claims

Published online by Cambridge University Press:  29 August 2014

Nelson De Pril
Nelson De Pril*
Affiliation:
Institute of Actuarial Science, K.U.Leuven, Belgium
*
Instituut voor Actuariële Wetenschappen, K.U.Leuven Dekenstraat 2, B-3000 Leuven, Belgium.
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Abstract

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In an earlier paper the author derived a recursion formula which permits the exact computation of the aggregate claims distribution in the individual life model. To save computing time he also proposed an approximative procedure based on the exact recursion.

In the present contribution the exact recursion formula and the related approximations are generalized to the individual risk theory model with arbitrary positive claims. Error bounds for the approximations are given and it is shown that they are smaller than those of the Kornya-type approximations.

Keywords

Individual modelrecursion formulaaggregate claims distributionerror bound
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 19 , Issue 1 , April 1989 , pp. 9 - 24
Copyright
Copyright © International Actuarial Association 1989

References

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