Multi-Period Aggregate Loss Distributions for a Life Portfolio

David C.M. Dickson and Howard R. Waters

ASTIN Bulletin, 1999, vol. 29, issue 2, 295-309

Abstract: Algorithms for the calculation of the distribution of the aggregate claims from a life insurance portfolio have been derived by Kornya (1983), Hipp (1986) and De Pril (1986 and 1989). All these authors considered the distribution of the aggregate claims over a single period. In this paper we derive algorithms for the calculation of the joint distribution of the aggregate claims from a life portfolio over several periods.

Date: 1999
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