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Panjer vs Kornya vs De Pril: A Comparison from a Practical Point of View

Published online by Cambridge University Press:  29 August 2014

S. Kuon ,
A. Reich  and
L. Reimers
S. Kuon*
Affiliation:
The Cologne Re, Cologne
A. Reich*
Affiliation:
The Cologne Re, Cologne
L. Reimers*
Affiliation:
The Cologne Re, Cologne
*
The Cologne Re, Department for Research and Development, Theodor-Heuss-Ring 11, D-5000 Köln 1, Federal Republic of, Germany.
The Cologne Re, Department for Research and Development, Theodor-Heuss-Ring 11, D-5000 Köln 1, Federal Republic of, Germany.
The Cologne Re, Department for Research and Development, Theodor-Heuss-Ring 11, D-5000 Köln 1, Federal Republic of, Germany.
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Abstract

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We compare three modern methods for calculating the aggregate claims distribution with respect to their computation amount and accuracy: Panjer's algorithm, the approximation method of Kornya and the most recent, exact procedure of De Pril. They are compared numerically in the case of actual Life portfolios. The computation amount of De Pril's method is much greater than that of the two others, which do not differ substantially in this respect. The accuracy of Kornya's and Panjer's methods is remarkably high in the examples considered. However, as the accuracy of Kornya's approximation method can be determined easily in advance, this procedure turns out to be the most useful one for the problems arising from practical work.

Keywords

Aggregate claims distributioncomputation amountindividual modelcollective model
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 17 , Issue 2 , November 1987 , pp. 183 - 191
Copyright
Copyright © International Actuarial Association 1987

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