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On the Exact Calculation of the Aggregate Claims Distribution in the Individual Life Model

Published online by Cambridge University Press:  29 August 2014

Karl-Heinz Waldmann
Karl-Heinz Waldmann*
Affiliation:
Institut für Wirtschaftstheorie und Operations Research, Universität Karlsruhe
*
Institut für Wirtschaftstheorie und Operations Research, Universität Karlsruhe, Postf. 6980, D-76128 Karlsruhe.
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Abstract

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An iteration scheme is derived for calculating the aggregate claims distribution in the individual life model. The (exact) procedure is an efficient reformulation of De Pril's (1986) algorithm, considerably reducing both the number of arithmetic operations to be carried out and the number of data to be kept at each step of iteration. Scaling functions are used to stabilize the algorithm in case of a portfolio with a large number of policies. Some numerical results are displayed to demonstrate the efficiency of the method.

Keywords

Individual life modelaggregate claims distributionDe Pril algorithm
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 24 , Issue 1 , May 1994 , pp. 89 - 96
Copyright
Copyright © International Actuarial Association 1994

References

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