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On the Exact Computation of the Aggregate Claims Distribution in the Individual Life Model

Published online by Cambridge University Press:  29 August 2014

Nelson De Pril
Nelson De Pril*
Affiliation:
Instituut voor Actuariële Wetenschappen, K. U. Leuven, Belgium
*
Instituut voor Actuariële, Wetenschappen, Katholieke Universiteit Leuven, Dekenstraat 2, B-3000 Leuven (Belgium).
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Abstract

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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

Aggregate claims distributionrecursion formulaindividual life modelindividual risk theory
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 16 , Issue 2 , November 1986 , pp. 109 - 112
Copyright
Copyright © International Actuarial Association 1986

References

Kornya, P. S. (1983) Distribution of aggregate claims in the individual risk theory model. Transactions of the Society of Actuaries 35, 823–836. Discussion 837-858.Google Scholar
Panjer, H. H. (1981) Recursive evaluation of a family of compound distributions. ASTIN Bulletin 12, 22–26.CrossRefGoogle Scholar
White, R. P. and Greville, T. N. E. (1959) On computing the probability that exactly k of n independent events will occur. Transactions of the Society of Actuaries 11, 88–95. Discussion 96-99.Google Scholar