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

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  • De Pril, Nelson

Abstract

A recursive expression is derived for computing exactly the distribution of aggregate claims of a portfolio of life insurance policies. The recursion generalizes a formula of White and Greville for the claim numbers distribution and improves Kornya's approximation method for the aggregate claims distribution. It can be seen as the counterpart in the individual model of Panjer's recursion formula for the collective model.

Suggested Citation

  • De Pril, Nelson, 1986. "On the Exact Computation of the Aggregate Claims Distribution in the Individual Life Model," ASTIN Bulletin, Cambridge University Press, vol. 16(2), pages 109-112, November.
    • Handle: RePEc:cup:astinb:v:16:y:1986:i:02:p:109-112_00
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    Citations

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    Cited by:

    1. Sundt, Bjorn, 2002. "Recursive evaluation of aggregate claims distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 297-322, June.
    2. Carmen Ribas Mari & Antonio Alegre Escolano, 2002. "The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure," Working Papers in Economics 90, Universitat de Barcelona. Espai de Recerca en Economia.
    3. Alvaro Tomassetti & Angelo Manna & Sabrina Pucci, 1995. "Risk Theory: Exact Calculations In The Individual Risk Model; Some Methods," Working Papers 029, Risk and Insurance Archive.
    4. Ribas, Carme & Marin-Solano, Jesus & Alegre, Antonio, 2003. "On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 201-215, April.
    5. Hurlimann, Werner, 2002. "On the accumulated aggregate surplus of a life portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 27-35, February.
    6. Denuit, M. & Genest, C. & Marceau, E., 1999. "Stochastic bounds on sums of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 85-104, September.
    7. Dhaene, Jan & Vandebroek, Martina, 1995. "Recursions for the individual model," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 31-38, April.
    8. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.

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