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A Procedure to Compute Values of the Generalised Poisson Function*

Published online by Cambridge University Press:  29 August 2014

Esa Hovinen
Esa Hovinen*
Affiliation:
Helsinki
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The purpose of this paper is to describe a technical procedure, which enables one to compute values of the generalised Poisson distribution function, with an accuracy considered sufficient for insurance companies and with satisfactory speed. The procedure requires a fast medium sized computer.

The computation of values of the generalised Poisson distribution function has become a timely problem in Finland, because of the introduction by the Supervisory Service of more stringent requirements in determining limits of the so called equalisation reserves, which have their theoretical basis in the random fluctuations of claims amounts. The question has also been discussed in papers submitted by Dr. Pentikainen [3] and Dr. Pesonen [4] to this Colloquium. Because the practical computation is a further problem, the Federation of Finnish Insurance Companies set up a committee in 1962 to gather and work up the necessary statistics from various branches of insurance and to develop the computational methods ready for use in practice. The committee has almost completed its work, and one of the results, a procedure to compute values of the generalised Poisson function with a mixed method, is described below. The method is referred to briefly in [4]. The programming and further planning work has been done by Dr. Loimaranta and M. Sc. Porn.

Type
Astin Colloquium 1965 Lucerne Subject one
Information
ASTIN Bulletin: The Journal of the IAA , Volume 4 , Issue 2 , February 1967 , pp. 129 - 135
Copyright
Copyright © International Actuarial Association 1967

Footnotes

*)

Those interested in the program written in ALGOL for an Elliott 503 computer should write to “Vahinkovakuutusyhtiöiden Tilastokeskus”, Bulevardi 28, Helsinki, Finland.

References

[1]Bohman, H. and Esscher, F., 1964, Studies in risk theory with numerical illustrations concerning distribution functions and stop loss risk premiums, Skand. Akt. Tidskr.CrossRefGoogle Scholar
[2]Hovinen, E., 1964, A method to compute convolutions (not printed).Google Scholar
[3]Pentikainen, T., 1965, On the solvency of insurance companies, ASTIN Colloquium in Lucerne.Google Scholar
[4]Pesonen, E., 1965, On the calculation of the generalised Poisson function, ASTIN Colloquium in Lucerne.Google Scholar
[5]Pesonen, E., 1965, Magnitude control of technical reserves in Finland, ASTIN Colloquium in Lucerne.Google Scholar