Hostname: page-component-78c5997874-fbnjt Total loading time: 0 Render date: 2024-11-03T00:41:27.425Z Has data issue: false hasContentIssue false
  • English
  • Français

Maximizing Compound Poisson Stop-Loss Premiums Numerically with Given Mean and Variance

Published online by Cambridge University Press:  29 August 2014

R. Kaas ,
M. Vanneste  and
M.J. Goovaerts
R. Kaas*
Affiliation:
University of Amsterdam
M. Vanneste*
Affiliation:
K.U. Leuven
M.J. Goovaerts*
Affiliation:
K.U. Leuven, University of Amsterdam
*
Institute for Actuarial Science and Econometrics, Roetersstraat 11, NL-1018 WB Amsterdam.
Institute for Actuarial Science and Econometrics, Roetersstraat 11, NL-1018 WB Amsterdam.
Institute for Actuarial Science and Econometrics, Roetersstraat 11, NL-1018 WB Amsterdam.
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.

This paper describes a technique to find the maximal stop-loss premiums in a given retention for a compound Poisson risk with known parameter, and known mean and variance of the claims. Restricting to an arithmetic and finite support of the claims, one gets an optimization problem of a non-linear function with a computable gradient, under linear constraints.

Numeraical results are given contrasting the method with the method of a previous paper, where only diatomic distributions were considered.

Type
Discussion Papers
Information
ASTIN Bulletin: The Journal of the IAA , Volume 22 , Issue 2 , November 1992 , pp. 225 - 233
Copyright
Copyright © International Actuarial Association 1992

References

Goovaerts, M. J., Kaas, R., Van Heerwaarden, A.E. and Bauwelinckx, T. (1990) Effective Actuarial Methods. North-Holland, Amsterdam.Google Scholar
Kaas, R. (1991) The Schmitter problem and a related problem: A partial solution. ASTIN Bulletin 21, 1, 133–146.CrossRefGoogle Scholar
Press, W.H., Flannery, B.P., Teukolsky, S.A. and Vetterling, W.A. (1986) Numerical Recipes, the art of scientific computing. Cambridge University Press.Google Scholar
Taha, H.A. (1987) Operations Reseach: an introduction. Mac Millan, New York, 4th edition.Google Scholar