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On the Numerical Evaluation of Stop-Loss Premiums

Published online by Cambridge University Press:  29 August 2014

F. Covens ,
M. Van Wouwe  and
M. Goovaerts
F. Covens
Affiliation:
Institute of Actuarial Science., Catholic University Louvain, Louvain, Belgium
M. Van Wouwe
Affiliation:
Institute of Actuarial Science., Catholic University Louvain, Louvain, Belgium
M. Goovaerts
Affiliation:
Institute of Actuarial Science., Catholic University Louvain, Louvain, Belgium
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Abstract

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A numerical procedure is described to evaluate the stop-loss premium in case the risk process is a compound Poisson process. The method is mainly based on an algorithm of R. Piessens and M. Branders for the numerical evaluation of Fourier transforms.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 10 , Issue 3 , December 1979 , pp. 318 - 324
Copyright
Copyright © International Actuarial Association 1979

References

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