Abstract
Algorithms for the calculation of the distribution of the aggregate claims from a life insurance portfolio have been derived by Kornya (1983), Hipp (1986) and De Pril (1986 and 1989). All these authors considered the distribution of the aggregate claims over a single period. In this paper we derive algorithms for the calculation of the joint distribution of the aggregate claims from a life portfolio over several periods.
Volume
29:2
Page
295-310
Year
1999
Categories
Actuarial Applications and Methodologies
Reserving
Reserve Variability
Financial and Statistical Methods
Loss Distributions
Business Areas
Other Lines of Business
Publications
ASTIN Bulletin
