Author:
Covens F.,Van Wouwe M.,Goovaerts M.
Abstract
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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
6 articles.
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