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Bounds on Stop-Loss Premiums for Compound Distributions

Author

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  • Kaas, R.
  • Goovaerts, M. J.

Abstract

Upper and lower bounds are derived for the stop-loss premium of compound distributions with fixed claim number distribution and known mean, variance and range for the claim severity distribution.

Suggested Citation

  • Kaas, R. & Goovaerts, M. J., 1986. "Bounds on Stop-Loss Premiums for Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 16(1), pages 13-17, April.
    • Handle: RePEc:cup:astinb:v:16:y:1986:i:01:p:13-17_00
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    Cited by:

    1. Laureano Escudero & Eva-María Ortega, 2009. "How retention levels influence the variability of the total risk under reinsurance," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 139-157, July.
    2. Denuit, Michel & Vylder, Etienne De & Lefevre, Claude, 1999. "Extremal generators and extremal distributions for the continuous s-convex stochastic orderings," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 201-217, May.
    3. Hansjörg Albrecher & José Carlos Araujo-Acuna, 2022. "On The Randomized Schmitter Problem," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 515-535, June.

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