The Aggregate Claims Distribution in the Individual Model with Arbitrary Positive Claims

Nelson De Pril

ASTIN Bulletin, 1989, vol. 19, issue 1, 9-24

Abstract: In an earlier paper the author derived a recursion formula which permits the exact computation of the aggregate claims distribution in the individual life model. To save computing time he also proposed an approximative procedure based on the exact recursion. In the present contribution the exact recursion formula and the related approximations are generalized to the individual risk theory model with arbitrary positive claims. Error bounds for the approximations are given and it is shown that they are smaller than those of the Kornya-type approximations.

Date: 1989
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