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Multi-Period Aggregate Loss Distributions for a Life Portfolio

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  • C.M. Dickson, David
  • Waters, Howard R.

Abstract

Algorithms for the calculation of the distribution of the aggregate claims from a life insurance portfolio have been derived by Kornya (1983), Hipp (1986) and De Pril (1986 and 1989). All these authors considered the distribution of the aggregate claims over a single period. In this paper we derive algorithms for the calculation of the joint distribution of the aggregate claims from a life portfolio over several periods.

Suggested Citation

  • C.M. Dickson, David & Waters, Howard R., 1999. "Multi-Period Aggregate Loss Distributions for a Life Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 295-309, November.
    • Handle: RePEc:cup:astinb:v:29:y:1999:i:02:p:295-309_01
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    Cited by:

    1. Hurlimann, Werner, 2002. "On the accumulated aggregate surplus of a life portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 27-35, February.
    2. Gbari, Samuel & Denuit, Michel, 2014. "Efficient approximations for numbers of survivors in the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 71-77.

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