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On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums

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  • Gerber, Hans U.

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  • Gerber, Hans U., 1982. "On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 13-18, January.
    • Handle: RePEc:eee:insuma:v:1:y:1982:i:1:p:13-18
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    Cited by:

    1. Caroline Hillairet & Ying Jiao & Anthony R'eveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Papers 1707.05061, arXiv.org.
    2. Caroline Hillairet & Ying Jiao, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Working Papers 2017-75, Center for Research in Economics and Statistics.
    3. Sundt, Bjorn, 2002. "Recursive evaluation of aggregate claims distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 297-322, June.
    4. David Cummins & Christopher Lewis & Richard Phillips, 1999. "Pricing Excess-of-Loss Reinsurance Contracts against Cat as trophic Loss," NBER Chapters, in: The Financing of Catastrophe Risk, pages 93-148, National Bureau of Economic Research, Inc.
    5. Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2018. "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Post-Print hal-01561987, HAL.
    6. Rafał Wójcik & Charlie Wusuo Liu & Jayanta Guin, 2019. "Direct and Hierarchical Models for Aggregating Spatially Dependent Catastrophe Risks," Risks, MDPI, vol. 7(2), pages 1-22, May.
    7. Vilar, Jose L., 2000. "Arithmetization of distributions and linear goal programming," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 113-122, August.
    8. Psarrakos, Georgios & Politis, Konstadinos, 2008. "Tail bounds for the joint distribution of the surplus prior to and at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 163-176, February.
    9. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.
    10. Paul Embrechts & Marco Frei, 2009. "Panjer recursion versus FFT for compound distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 497-508, July.
    11. Bae, Taehan & Kim, Changki & Kulperger, Reginald J., 2009. "Securitization of motor insurance loss rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 48-58, February.
    12. Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Working Papers hal-01561987, HAL.
    13. Anh Ninh, 2021. "Robust newsvendor problems with compound Poisson demands," Annals of Operations Research, Springer, vol. 302(1), pages 327-338, July.

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