Abstract
Kornya-type higher order approximations are derived for the aggregate claims distribution and for stop loss premiums in the individual model with arbitrary positive claims. Absolute error bounds and error bounds based on concentration functions are given. In the Gerber portfolio containing 31 policies, second order approximations lead to an accuracy of 3 X 10-4, and third order approximations to 1.7 X 10-5.
Reinsurance Research - Loss Distributions, Size of
Volume
16:2
Page
89-100
Year
1986
Categories
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Aggregation Methods
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
