Easier Algorithms for Aggregate Excess

Probabilities for aggregate claims can be calculated from frequency and severity probabilities using the characteristic function algorithm of Heckman-Meyers (1983), but the formulas are somewhat difficult to follow and program. Two easier algorithms are presented below. These are particularly efficient when there are only a small number of claims expected and when the severity distribution is fairly flat, as in many reinsurance situations. Keywords: Claim Size Modeling/Loss Distribution/Increased Limits/Excess of Loss/Reinsurance