Maximizing Compound Poisson Stop-Loss Premiums Numerically with Given Mean and Variance

R. Kaas, M. Vanneste and Marc Goovaerts

ASTIN Bulletin, 1992, vol. 22, issue 2, 225-233

Abstract: This paper describes a technique to find the maximal stop-loss premiums in a given retention for a compound Poisson risk with known parameter, and known mean and variance of the claims. Restricting to an arithmetic and finite support of the claims, one gets an optimization problem of a non-linear function with a computable gradient, under linear constraints. Numeraical results are given contrasting the method with the method of a previous paper, where only diatomic distributions were considered.

Date: 1992
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