Improved approximations for the aggregate claims distribution in the individual model

ASTIN Bulletin

Volumn 16, Issue 2, 1986, Pages 89-100

  Hipp, Christian ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Aggregate claims distribution; compound Poisson distribution; higher order approximations

Indexed keywords

EID: 0002328295     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.16.2.2015001     Document Type: Article

References (7)

1. Bertram J. (1981) Numerische Berechnung von Gesamtschadenverteilungen. Blätter der Deutschen Gesellschaft für Versicherungsmathematik, 15, 175–194.
2. Gerber H. U. (1979) An Introduction to Mathematical Risk Theory. Huebner Foundation, R.D. Irwin Inc., Homewood, IL.
3. Gerber H. U. (1984) Error Bounds for the Compound Poisson Approximation. Insurance: Mathematics and Economics, 3, 191–194.
4. Hipp C. (1985) Approximation of Aggregate Claims Distributions by Compound Poisson Distributions. Insurance: Mathematics and Economics, 4, 227–232.
5. Kornya P. S. (1983) Distribution of Aggregate Claims in the Individual Risk Theory Model. Society of Actuaries: Transactions, 35, 823–858.
6. Loève M. (1977) Probability Theory. I. 4th Edition. Springer, New York.
7. Panjer H. (1981) Recursive Evaluation of a Family of Compound Distributions. ASTIN Bulletin, 12, 22–26.