Abstract
A numerical procedure is described to evaluate the stop-loss premium in case the risk process is a compound Poisson process. The method is mainly based on an algorithm of R. Piessens and M. Branders for the numerical evaluation of Fourier transforms.
Volume
10:3
Page
318-328
Year
1979
Categories
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Aggregation Methods
Fourier
Financial and Statistical Methods
Loss Distributions
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Bulletin
