On the Exact Computation of the Aggregate Claims Distribution in the Individual Life Model
- 1 November 1986
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 16 (2) , 109-112
- https://doi.org/10.2143/AST.16.2.2015003
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.Keywords
This publication has 1 reference indexed in Scilit:
- Recursive Evaluation of a Family of Compound DistributionsASTIN Bulletin, 1981