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On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt  and
Jan Dhaene
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Abstract

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In the present note we deduce a class of bounds for the difference between the stop-loss transforms of two compound distributions with the same severity distribution. The class contains bounds of any degree of accuracy in the sense that the bounds can be chosen as close to the exact value as desired; the time required to compute the bounds increases with the accuracy.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 26 , Issue 2 , November 1996 , pp. 225 - 231
Copyright
Copyright © International Actuarial Association 1996

References

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Sundt, B. (1991). On approximating aggregate claims distributions and stop-loss premiums by truncation. Insurance: Mathematics and Economics 10, 133–136.Google Scholar