Hostname: page-component-cd9895bd7-gxg78 Total loading time: 0 Render date: 2024-12-30T21:23:22.019Z Has data issue: false hasContentIssue false
  • English
  • Français

Bounds on Stop-Loss Premiums for Compound Distributions

Published online by Cambridge University Press:  29 August 2014

R. Kaas  and
M. J. Goovaerts
R. Kaas*
Affiliation:
University of Amsterdam
M. J. Goovaerts*
Affiliation:
University of Amsterdamand K. U. Leuven
*
Universiteit van Amsterdam, Jodenbreestraat 23, NL-1011 WH Amsterdam, The Netherlands.
Universiteit van Amsterdam, Jodenbreestraat 23, NL-1011 WH Amsterdam, The Netherlands.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

Upper and lower bounds are derived for the stop-loss premium of compound distributions with fixed claim number distribution and known mean, variance and range for the claim severity distribution.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 16 , Issue 1 , April 1986 , pp. 13 - 17
Copyright
Copyright © International Actuarial Association 1986

References

Bühlmann, H., Gagliardi, B., Gerber, H. and Straub, E. (1977) Some Inequalities for Stop-Loss Premiums, ASTIN-Bulletin IX, 75–83.CrossRefGoogle Scholar
Gerber, H. U. (1982) On the Numerical Evaluation of the Distribution of Aggregate Claims and its Stop-Loss Premiums. Insurance: Mathematics and Economics I, 13–18.Google Scholar
Goovaerts, M. J. and Kaas, R. (1986) Analytical Bounds on Distributions Under Integral Constraints, to be published.Google Scholar
Goovaerts, M. J., De Vylder, F. and Haezendonck, J. (1984) Insurance Premiums. North-Holland Publishing Company: Amsterdam.Google Scholar