Hostname: page-component-78c5997874-s2hrs Total loading time: 0 Render date: 2024-11-12T19:43:19.007Z Has data issue: false hasContentIssue false

On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions

Published online by Cambridge University Press:  29 August 2014

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.

In the present note we deduce a class of bounds for the difference between the stop-loss transforms of two compound distributions with the same severity distribution. The class contains bounds of any degree of accuracy in the sense that the bounds can be chosen as close to the exact value as desired; the time required to compute the bounds increases with the accuracy.

Type
Articles
Copyright
Copyright © International Actuarial Association 1996

References

De Pril, N. & Dhaene, J. (1992). Error bounds for compound Poisson approximations to the individual risk model. ASTIN Bulletin 22, 135148.CrossRefGoogle Scholar
Dhaene, J. & Sundt, B. (1996). On error bounds for approximations to aggregate claims distributions. Submitted for publication in ASTIN Bulletin.Google Scholar
Goovaerts, M.J., Kaas, R., Van Heerwaarden, A.E., & Bauwelinckx, T. (1990). Effective Actuarial Methods. North-Holland, Amsterdam.Google Scholar
Sundt, B. (1991). On approximating aggregate claims distributions and stop-loss premiums by truncation. Insurance: Mathematics and Economics 10, 133136.Google Scholar