On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions

Bjørn Sundt and Jan Dhaene

ASTIN Bulletin, 1996, vol. 26, issue 2, 225-231

Abstract: In the present note we deduce a class of bounds for the difference between the stop-loss transforms of two compound distributions with the same severity distribution. The class contains bounds of any degree of accuracy in the sense that the bounds can be chosen as close to the exact value as desired; the time required to compute the bounds increases with the accuracy.

Date: 1996
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