On the Numerical Evaluation of Stop-Loss Premiums

F. Covens, M. Van Wouwe and Marc Goovaerts

ASTIN Bulletin, 1979, vol. 10, issue 3, 318-324

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.

Date: 1979
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