Hostname: page-component-586b7cd67f-r5fsc Total loading time: 0 Render date: 2024-11-23T01:56:07.738Z Has data issue: false hasContentIssue false
  • English
  • Français

Multi-Period Aggregate Loss Distributions for a Life Portfolio

Published online by Cambridge University Press:  29 August 2014

David C.M. Dickson  and
Howard R. Waters
David C.M. Dickson*
Affiliation:
April 13, 1999
Howard R. Waters*
Affiliation:
April 13, 1999
*
Centre for Actuarial Studies, Faculty of Economics and Commerce, University of Melbourne, Parkville, Victoria 3052, Australiaemail: D. [email protected]
Department of Actuarial Mathematics and Statistics, Heriot- Watt UniversityEdinburgh, EH14 4 AS, Scotland, email: H. R. [email protected]
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

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.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 29 , Issue 2 , November 1999 , pp. 295 - 309
Copyright
Copyright © International Actuarial Association 1999

References

Continuous Mortality Investigation Reports, Number 10 (1990) Published by the Faculty of Actuaries and the Institute of Actuaries, Edinburgh and London.Google Scholar
De Pril, N. (1986) On the exact computation of the aggregate claims distribution in the individual life model. ASTIN Bulletin 16, 16–109.CrossRefGoogle Scholar
De Pril, N. (1988) Improved approximations for the aggregate claims distribution of a life insurance portfolio. Scandinavian Actuarial Journal 1988 1988–61.Google Scholar
De Pril, N. (1989) The aggregate claims distribution in the individual model with arbitrary positive claims. ASTIN Bulletin 19, 19–9.CrossRefGoogle Scholar
Hipp, C. (1986) Improved approximations for the aggregate claims distribution in the individual model. ASTIN Bulletin 16, 16–89.CrossRefGoogle Scholar
Kornya, P.S. (1983) Distribution of aggregate claims in the individual risk theory model. Transactions of the Society of Actuaries 35, 35–823.Google Scholar
Sundt, B. (1998a) The multivariate De Pril transform. Center for Actuarial Studies, University of Melbourne, Research Paper Number 50.Google Scholar
Sundt, B. (1998b) On error bounds for multivariate distributions. Centre for Actuarial Studies, University of Melbourne, Research Paper Number 60.Google Scholar
Wang, S.S. (1997) Aggregation of correlated risk portfolios: Models and algorithms. Institute of Insurance and Pension Research, University of Waterloo, Research Report 97-14.Google Scholar