Author:
Kuon S.,Reich A.,Reimers L.
Abstract
AbstractWe compare three modern methods for calculating the aggregate claims distribution with respect to their computation amount and accuracy: Panjer's algorithm, the approximation method of Kornya and the most recent, exact procedure of De Pril. They are compared numerically in the case of actual Life portfolios. The computation amount of De Pril's method is much greater than that of the two others, which do not differ substantially in this respect. The accuracy of Kornya's and Panjer's methods is remarkably high in the examples considered. However, as the accuracy of Kornya's approximation method can be determined easily in advance, this procedure turns out to be the most useful one for the problems arising from practical work.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference11 articles.
1. Computational aspects of recursive evaluation of compound distributions;Panjer;Insurance: Mathematics and Economics,1986
2. Recursive Evaluation of a Family of Compound Distributions
3. Zur Theorie der Rückversicherung;Lundberg;Transactions of the International Congress of Actuaries,1909
4. Improved Approximations for the Aggregate Claims Distribution in the Individual Model
5. Approximation of aggregate claims distribution by compound Poisson distributions;Hipp;Insurance: Mathematics and Economics,1985
Cited by
21 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. On Approximation of the Panjer Distribution by the Poisson and Binomial Distributions;WSEAS TRANSACTIONS ON MATHEMATICS;2021-09-30
2. References;Advances in Heavy Tailed Risk Modeling;2015-06-05
3. Bibliography;Fundamental Aspects of Operational Risk and Insurance Analytics;2015-01-23
4. Stop‐Loss Reinsurance;Wiley StatsRef: Statistics Reference Online;2014-09-29
5. Individual Risk Model: Examples;Wiley StatsRef: Statistics Reference Online;2014-09-29