Modified Recursions for a Class of Compound Distributions

ASTIN Bulletin

Volumn 26, Issue 2, 1996, Pages 213-224

  Waldmann, Karl Heinz ^a  

^a UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

aggregate claims distribution; Collective risk model; Panjer's algorithm

Indexed keywords

EID: 85011463508     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.26.2.563220     Document Type: Article

References (8)

1. Gerber, H.U. (1979) An Introduction to Mathematical Risk Theory. Huebner Foundation Monograph 8, Philadelphia.
2. Kuon, S., Radke, A. and Reich, A. (1993) An Appropriate Way to Switch from the Individual Risk Model to the Collective One. ASTIN Bulletin. 23, 23–54.
3. Panjer, H.H. and Wang, S. (1993) On the stability of recursive formulas. ASTIN Bulletin. 23, 227–258.
4. Panjer, H.H. and Willmot, G.E. (1986) Computational aspects of recursive evaluation of compound distributions. Insurance: Mathematics and Economics. 5, 113–116.
5. Panjer, H.H. and Willmot, G.E. (1992) Insurance Risk Models. Society of Actuaries, Schaumburg, IL.
6. Sundt, B. (1991) An Introduction to Non-Life Insurance Mathematics (2. Auflage). Verlag Versicherungswirtschaft, Karlsruhe.
7. Waldmann, K.-H. (1994) On the exact calculation of the aggregate claims distribution in the individual life model. ASTIN Bulletin. 24, 89–96.
8. Waldmann, K.-H. (1995) Exact calculation of the aggregate claims distribution in the individual life model by use of an n-layer model. Blätter der DGVM, Band XXII, 279–287.