Approximation of the Stop-loss Premium for the Compound Poisson Distribution

被引：0

作者：

Nikodem, Anna ^{[1
]}

机构：

[1] Univ Econ, PL-53345 Wroclaw, Poland

来源：

APPLICATIONS OF MATHEMATICS AND STATISTICS IN ECONOMY: AMSE 2009 | 2009年

关键词：

Compound Poisson distribution; Stop-loss premium;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper the approximation of stop-loss premium for the compound Poisson distribution will be considered. When the claim size distribution is known, we can compute stop-loss premium by using the recursive method. If we don't know this distribution, we can use the approximation of the aggregate loss distribution to compute the stop-loss premium. In literature various approximation are described. In this paper several of them are compared for light tailed and heavy tailed claim size distribution.

引用

页码：331 / 340

页数：10