Abstract
A recursive expression is derived for computing exactly the distribution of aggregate claims of a portfolio of life insurance policies. The recursion generalizes a formula of White and Greviile for the claim numbers distribution and improves Kornya's approximation method for the aggregate claims distribution. It can be seen as the counterpart in the individual model of Panjer's recursion formula for the collective model.
KEYWORDS aggregate claims distribution, recursion formula, individual life model, individual risk theory.
Volume
16:2
Page
109-112
Year
1986
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Loss Distributions
Business Areas
Other Lines of Business
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
