On the Exact Computation of the Aggregate Claims Distribution in the Individual Life Model

Nelson De Pril

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Probability and Risk Models Probability and Statistical Research Insurance, Mortality, Demography, Risk Management

Abstract

Abstract A recursive expression is derived for computing exactly the distribution of aggregate claims of a portfolio of life insurance policies. The recursion generalizes a formula of White and Greville for the claim numbers distribution and improves Kornya's approximation method for the aggregate claims distribution. It can be seen as the counterpart in the individual model of Panjer's recursion formula for the collective model.

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1981Recursive Evaluation of a Family of Compound Distributions

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1994On a class of approximative computation methods in the individual risk model 2002Recursive evaluation of aggregate claims distributions 1995Recursions for the individual model

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