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On the Numerical Evaluation of Stop-Loss Premiums

Published online by Cambridge University Press:  29 August 2014

F. Covens ,
M. Van Wouwe  and
M. Goovaerts
F. Covens
Affiliation:
Institute of Actuarial Science., Catholic University Louvain, Louvain, Belgium
M. Van Wouwe
Affiliation:
Institute of Actuarial Science., Catholic University Louvain, Louvain, Belgium
M. Goovaerts
Affiliation:
Institute of Actuarial Science., Catholic University Louvain, Louvain, Belgium
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Abstract

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A numerical procedure is described to evaluate the stop-loss premium in case the risk process is a compound Poisson process. The method is mainly based on an algorithm of R. Piessens and M. Branders for the numerical evaluation of Fourier transforms.

Information

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 10 , Issue 3 , December 1979 , pp. 318 - 324
Copyright
Copyright © International Actuarial Association 1979

References

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